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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2024 Volume 69, Issue 1, Pages 125–147 (Mi tvp5550)

Conditional functional limit theorem for random reccurence sequence conditioned on large deviation event

A. V. Shklyaev

Steklov Mathematical Institute of Russian Academy of Sciences, Moscow

Abstract: Let $\{Z_n,\, n\ge 0\}$ be a branching process in an independent and identically distributed (i.i.d.) random environment and $\{S_n,\, n\,{\ge}\, 1\}$ be the associated random walk with steps $\xi_i$. Under the Cramér condition on $\xi_1$ and moment assumptions on a number of descendants of one particle, we know the asymptotics of the large deviation probabilities $\mathbf{P}(\ln Z_n > x)$, where $x/n > \mu^*$. Here, $\mu^*$ is a parameter depending on the process type. We study the asymptotic behavior of the process trajectory under the condition of a large deviation event. In particular, we obtain a conditional functional limit theorem for the trajectory of $(Z_{[nt]},\, t\in [0,1])$ given $\ln Z_n>x$. This result is obtained in a more general model of linear recurrence sequence $Y_{n+1}=A_n Y_n + B_n$, $n\ge 0$, where $\{A_i\}$ is a sequence of i.i.d. random variables, $Y_0$, $B_i$, $i\ge 0$, are possibly dependent and have different distributions, and we need only some moment assumptions on them.

Keywords: large deviations, functional limit theorem, branching processes, bisexual branching processes, random environment.

Received: 19.05.2022
Revised: 04.10.2022
Accepted: 03.07.2023

DOI: 10.4213/tvp5550


 English version:
Theory of Probability and its Applications, 2024, 69:1, 99–116

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© Steklov Math. Inst. of RAS, 2024