Large deviations for a damped telegraph process
Probability
2013-10-29 v1
Abstract
In this paper we consider a slight generalization of the damped telegraph process in Di Crescenzo and Martinucci (2010). We prove a large deviation principle for this process and an asymptotic result for its level crossing probabilities (as the level goes to infinity). Finally we compare our results with the analogous well-known results for the standard telegraph process.
Keywords
Cite
@article{arxiv.1310.7332,
title = {Large deviations for a damped telegraph process},
author = {Alessandro De Gregorio and Claudio Macci},
journal= {arXiv preprint arXiv:1310.7332},
year = {2013}
}