SAMPLE PATH LARGE DEVIATIONS FOR LEVY PROCESSES AND RANDOM WALKS WITH WEIBULL INCREMENTS
成果类型：
Article
署名作者：
Bazhba, Mihail; Blanchet, Jose; Rhee, Chang-Han; Zwart, Bert
署名单位：
Stanford University; Northwestern University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/20-AAP1570
发表日期：
2020
页码：
2695-2739
关键词：
摘要：
We study sample path large deviations for Levy processes and random walks with heavy-tailed jump-size distributions that are of Weibull type. The sharpness and applicability of these results are illustrated by a counterexample proving the nonexistence of a full LDP in the J(1) topology, and by an application to a first passage problem.