Large Deviations for processes on half-line
Probability
2015-11-30 v3
Abstract
We consider a sequence of processes defined on half-line for all non negative t. We give sufficient conditions for Large Deviation Principle (LDP) to hold in the space of continuous functions with a new metric that is more sensitive to behaviour at infinity than the uniform metric. LDP is established for Random Walks, Diffusions, and CEV model of ruin, all defined on the half-line. LDP in this space is "more precise" than that with the usual metric of uniform convergence on compacts.
Cite
@article{arxiv.1502.06342,
title = {Large Deviations for processes on half-line},
author = {F. C. Klebaner and A. V. Logachov and A. A. Mogulski},
journal= {arXiv preprint arXiv:1502.06342},
year = {2015}
}
Comments
23 pages