F. C. Klebaner, A. V. Logachov, A. A. Mogulskii, “Extended large deviation principle for trajectories of processes with independent and stationary increments on the half-line”, Probl. Peredachi Inf., 2020, Volume 56, Issue 1,Pages <nobr>63

This article is cited in 1 paper

Large Systems

Extended large deviation principle for trajectories of processes with independent and stationary increments on the half-line

F. C. Klebaner^a, A. V. Logachov^bcde, A. A. Mogulskii^eb

^a School of Mathematics, Monash University, Melbourne, Australia
^b Laboratory of Applied Probability, Novosibirsk State University, Novosibirsk, Russia
^c Siberian State University of Geosystems and Technologies, Novosibirsk, Russia
^d Statistics Division, Novosibirsk State University of Economics and Management, Novosibirsk, Russia
^e Laboratory of Probability Theory and Mathematical Statistics, Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, Novosibirsk, Russia

Abstract: We establish an extended large deviation principle for processes with independent and stationary increments on the half-line under the Cramer moment condition in the space of functions of bounded variation without discontinuities of the second kind equipped with the Borovkov metric.

Keywords: compound Poisson process, processes with independent increments, Cramer condition, rate function, large deviation principle, extended large deviation principle, bounded variation functions, space of functions without discontinuities of the second kind, Borovkov metric.

UDC: 621.391.1 : 519.2

Received: 26.12.2019
Revised: 28.01.2020
Accepted: 29.01.2020

DOI: 10.31857/S0555292320010064