Large deviations for processes on half-line

被引:3
|
作者
Klebaner, F. C. [1 ]
Logachov, A. V. [2 ]
Mogulskii, A. A. [3 ]
机构
[1] Monash Univ, Clayton, Vic 3800, Australia
[2] Novosibirsk State Univ, Novosibirsk, Russia
[3] Sobolev Inst Math, Omsk, Russia
来源
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2015年 / 20卷
基金
澳大利亚研究理事会;
关键词
Large Deviations; Random Walk; Diffusion processes; RANDOM-WALKS; TRAJECTORIES;
D O I
10.1214/ECP.v20-4130
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider a sequence of processes X-n(t) defined on the half-line 0 <= t < infinity, n = 1, 2, .... We give sufficient conditions for Large Deviation Principle (LDP) to hold in the space of continuous functions with metric rho(kappa)(f, g) = sup(t >= 0) vertical bar f(t) - g(t)vertical bar/1 + t(1+kappa), kappa >= 0. LDP is established for Random Walks and Diffusions defined on the half-line. LDP in this space is "more precise" than that with the usual metric of uniform convergence on compacts.
引用
收藏
页码:1 / 14
页数:14
相关论文
共 50 条