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JOURNALS // Sibirskii Matematicheskii Zhurnal // Archive

Sibirsk. Mat. Zh., 2013 Volume 54, Number 2, Pages 286–297 (Mi smj2420)

This article is cited in 9 papers

Inequalities and principles of large deviations for the trajectories of processes with independent increments

A. A. Borovkov, A. A. Mogul'skiĭ

Sobolev Institute of Mathematics, Novosibirsk, Russia

Abstract: We consider a homogeneous process $S(t)$ on $[0,\infty)$ with independent increments, establish the local and ordinary large deviation principles for the trajectories of the processes $s_T(t):=\frac1TS(tT)$, $t\in[0,1]$, as $T\to\infty$, and obtain a series of inequalities for the distributions of the trajectories of $S(t)$.

Keywords: process with independent increments, Cramer's condition, function of deviations, large deviation principle (LDP), local large deviation principle (local LDP), Chebyshev-type inequality, convex set.

UDC: 519.21

Received: 15.06.2012


 English version:
Siberian Mathematical Journal, 2013, 54:2, 217–226

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© Steklov Math. Inst. of RAS, 2024