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JOURNALS // Sibirskii Matematicheskii Zhurnal // Archive

Sibirsk. Mat. Zh., 2011 Volume 52, Number 4, Pages 777–795 (Mi smj2238)

This article is cited in 10 papers

Properties of a functional of trajectories which arises in studying the probabilities of large deviations of random walks

A. A. Borovkov, A. A. Mogul'skiĭ

Sobolev Institute of Mathematics, Novosibirsk, Russia

Abstract: The deviation functional (or integral) describes the logarithmic asymptotics of the probabilities of large deviations of trajectories of the random walks generated by the sums of random variables (vectors) (see [1, 2] for instance). In this article we define it on a broader function space than previously and under weaker assumptions on the distributions of jumps of the random walk. The deviation integral turns out the Darboux integral $\int F(t,u)$ of a semiadditive interval function $F(t,u)$ of a particular form. We study the properties of the deviation integral and use the results elsewhere in [3] to prove some generalizations of the large deviation principle established previously under rather restrictive assumptions.

Keywords: Cramér condition, deviation function, random walk, deviation functional, deviation integral, variation of a function, semiadditive function, Darboux integral.

UDC: 519.21

Received: 23.03.2011


 English version:
Siberian Mathematical Journal, 2011, 52:4, 612–627

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© Steklov Math. Inst. of RAS, 2024