Large Deviations for processes on half-line: Random Walk and Compound Poisson

Fima C Klebaner, Anatolii Alfredovich Mogulskii

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We establish, under the Cramer exponential moment condition in a neighbourhood of zero, the Extended Large Deviation Principle for the Random Walk and the Compound Poisson processes in the metric space V of functions of finite variation on [0;1) with the modified Borovkov metric.
Original languageEnglish
Pages (from-to)1-20
Number of pages20
JournalSiberian Electronic Mathematical Reports
Volume16
DOIs
Publication statusPublished - 2019

Keywords

  • Large Deviations
  • Random Walk
  • Compound Poisson Process
  • Cramer’s condition
  • rate function
  • Extended Large Deviation Principle

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