SAMPLE PATH LARGE DEVIATIONS FOR LÉVY PROCESSES AND RANDOM WALKS WITH WEIBULL INCREMENTS
We study sample path large deviations for Lévy processes and random walks with heavy-tailed jump-size distributions that are of Weibull type. The sharpness and applicability of these results are illustrated by a counterexample proving the nonexistence of a full LDP in the J₁ topology, and by an appl...
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| Veröffentlicht in: | The Annals of applied probability 2020-12, Vol.30 (6), p.2695-2739 |
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| container_end_page | 2739 |
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| container_issue | 6 |
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| container_title | The Annals of applied probability |
| container_volume | 30 |
| creator | Bazhba, Mihail Blanchet, Jose Rhee, Chang-Han Zwart, Bert |
| description | We study sample path large deviations for Lévy processes and random walks with heavy-tailed jump-size distributions that are of Weibull type. The sharpness and applicability of these results are illustrated by a counterexample proving the nonexistence of a full LDP in the J₁ topology, and by an application to a first passage problem. |
| doi_str_mv | 10.1214/20-AAP1570 |
| format | Article |
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| source | Jstor Complete Legacy; EZB-FREE-00999 freely available EZB journals; Project Euclid Complete; JSTOR Mathematics & Statistics |
| subjects | Deviation Random walk Random walk theory Sharpness Stochastic models Topology |
| title | SAMPLE PATH LARGE DEVIATIONS FOR LÉVY PROCESSES AND RANDOM WALKS WITH WEIBULL INCREMENTS |
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