Cramer's theorem for nonnegative multivariate point processes with independent increments

F. Klebaner; R. Liptser

Cramer's theorem for nonnegative multivariate point processes with independent increments

Probability 2007-05-23 v2

Authors: F. Klebaner , R. Liptser

Abstract

We consider a continuous time version of Cramer's theorem with nonnegative summands $S_t=\frac{1}{t}\sum_{i:\tau_i\le t}\xi_i, t \to\infty,$ where $(\tau_i,\xi_i)_{i\ge 1}$ is a sequence of random variables such that $tS_t$ is a random process with independent increments.

Keywords

stochastic processes

Cite

@article{arxiv.math/0507258,
  title  = {Cramer's theorem for nonnegative multivariate point processes with independent increments},
  author = {F. Klebaner and R. Liptser},
  journal= {arXiv preprint arXiv:math/0507258},
  year   = {2007}
}

Comments

8 ppages, 2 figures

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