Sample path large deviations of Poisson shot noise with heavy-tailed semiexponential distributions

DOI10.1239/JAP/1316796907MaRDI QIDQ3094685zbMATH OpenOpenAlexFDO

Authors Ken R. Duffy, Giovanni Luca Torrisi

Publication date 25 October 2011

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1316796907

zbMATH Keywords

heavy-tailed distributionPoisson shot noisesample path large deviation

Mathematics Subject Classification ID

Large deviations (60F10)

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Cites work

• A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
• Delay in claim settlement and ruin probability approximations
• Functional Erdős-Rényi laws for semiexponential random variables
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• Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions
• Macroscopic models for long-range dependent network traffic
• Mathematical Analysis of Random Noise
• Sample path large deviations principles for Poisson shot noise processes, and applications

Cited in

(9)

• Asymptotic analysis of Poisson shot noise processes, and applications
• Non-central moderate deviations for compound fractional Poisson processes
• Large deviations for multidimensional state-dependent shot-noise processes
• Modeling least recently used caches with shot noise request processes
• Sample path large deviations for the multiplicative Poisson shot noise process with compensation
• scientific article; zbMATH DE number 5055401 (Why is no real title available?)
• Sample path moderate deviations for shot noise processes in the high intensity regime
• Sample path large deviations principles for Poisson shot noise processes, and applications
• Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions

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