Large deviations for vector-valued Lévy processes (Q1332318)
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scientific article; zbMATH DE number 636189
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviations for vector-valued Lévy processes |
scientific article; zbMATH DE number 636189 |
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Large deviations for vector-valued Lévy processes (English)
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10 October 1994
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The large deviation principle is proved for the rescaled and normalized paths of a Lévy process taking values in a separable Banach space \(B\), in the uniform topology of \(D([0,1], B)\), under an exponential integrability condition. An explicit expression for the rate function is given. Under weaker integrability conditions, large deviation results are established for Lévy processes with sample paths of bounded variation and \(B\) finite-dimensional.
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vector-valued Lévy process
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large deviation principle
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Lévy processes with sample paths of bounded variation
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0.93261635
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0.93018407
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0.92519975
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0.91867614
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0.9181919
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0.9170524
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