English

Precise asymptotics for large deviations of integral forms

Probability 2012-11-27 v1

Abstract

For suitable families of locally infinitely divisible Markov processes {ξtϵ}0tT\{\xi^{{\epsilon}}_t\}_{0\leq t\leq T} with frequent small jumps depending on a small parameter ϵ>0,\epsilon>0, precise asymptotics for large deviations of integral forms Eϵ[exp{ϵ1F(ξϵ)}]\mathbb{E}^{\epsilon}[\exp\{{\epsilon}^{-1}F(\xi^{\epsilon})\}] are proved for smooth functionals F.F. The main ingredient of the proof in this paper is a recent result regarding the asymptotic expansions of the expectations Eϵ[G(ξϵ)}]\mathbb{E}^{\epsilon}[G(\xi^{\epsilon})\}] for smooth G.G. Several connections between these large deviation asymptotics and partial integro-differential equations are included as well.

Keywords

Cite

@article{arxiv.1211.5610,
  title  = {Precise asymptotics for large deviations of integral forms},
  author = {Xiangfeng Yang},
  journal= {arXiv preprint arXiv:1211.5610},
  year   = {2012}
}

Comments

43 pages

R2 v1 2026-06-21T22:43:24.153Z