Large Deviation Principle for a Form of Compound Nonhomogeneous Poisson Process

被引：0
|
作者：
杨文权 [1 ]
胡亦钧 [2 ]
机构：
[1] School of Mathematics and Computer Science, Jianghan University
[2] School of Mathematics and Statistics, Wuhan University
来源：
JournalofDonghuaUniversity(EnglishEdition) | 2011年 / 28卷 / 02期
基金：
中国国家自然科学基金;
关键词：
large deviation principle; compound Poisson process; weak convergence;
D O I：
10.19884/j.1672-5220.2011.02.022
中图分类号：
O211.6 [随机过程];
学科分类号：
摘要：
By the Cramér method, the large deviation principle for a form of compound Poisson process S(t)=∑N(t)i=1h(t-Si)Xi is obtained,where N(t), t>0, is a nonhomogeneous Poisson process with intensity λ(t)>0, Xi, i≥1, are i.i.d. nonnegative random variables independent of N(t), and h(t), t>0, is a nonnegative monotone real function. Consequently, weak convergence for S(t) is also obtained.
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页码：217 / 221
页数：5
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