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Sample-path large deviations for a class of heavy-tailed Markov additive processes

Probability 2024-03-26 v3

Abstract

For a class of additive processes driven by the affine recursion Xn+1=AnXn+BnX_{n+1} = A_n X_n + B_n, we develop a sample-path large deviations principle in the M1M_1' topology on D[0,1]D [0,1]. We allow BnB_n to have both signs and focus on the case where Kesten's condition holds on A1A_1, leading to heavy-tailed distributions. The most likely paths in our large deviations results are step functions with both positive and negative jumps.

Keywords

Cite

@article{arxiv.2010.10751,
  title  = {Sample-path large deviations for a class of heavy-tailed Markov additive processes},
  author = {Bohan Chen and Chang-Han Rhee and Bert Zwart},
  journal= {arXiv preprint arXiv:2010.10751},
  year   = {2024}
}

Comments

Preprint: comments are welcome

R2 v1 2026-06-23T19:30:35.211Z