English

Large Deviations for Iterated Sums and Integrals

Probability 2026-04-06 v2

Abstract

We describe large deviations for normalized multiple iterated sums and integrals of the form \bbSN(ν)(t)=Nν0k1<...<kνNtξ(k1)ξ(kν)\bbS_N^{(\nu)}(t)=N^{-\nu}\sum_{0\leq k_1<...<k_\nu\leq Nt}\xi(k_1)\otimes\cdots\otimes\xi(k_\nu), t[0,T]t\in[0,T] and \bbSN(ν)(t)=Nν0s1...sνNtξ(s1)ξ(sν)ds1dsν\bbS_N^{(\nu)}(t)=N^{-\nu}\int_{0\leq s_1\leq...\leq s_\nu\leq Nt}\xi(s_1)\otimes\cdots\otimes\xi(s_\nu)ds_1\cdots ds_\nu, where {ξ(k)}<k<\{\xi(k)\}_{-\infty<k<\infty} and {ξ(s)}<s<\{\xi(s)\}_{-\infty<s<\infty} are centered bounded stationary vector processes whose sums or integrals satisfy a trajectorial large deviations principle.

Keywords

Cite

@article{arxiv.2507.09321,
  title  = {Large Deviations for Iterated Sums and Integrals},
  author = {Yuri Kifer and Ofer Zeitouni},
  journal= {arXiv preprint arXiv:2507.09321},
  year   = {2026}
}

Comments

5 pages

R2 v1 2026-07-01T03:58:01.695Z