Sample path large deviations for Lévy processes and random walks with Weibull increments

DOI10.1214/20-AAP1570zbMath1477.60051arXiv1710.04013MaRDI QIDQ2240472

Chang-Han Rhee, Mihail Bazhba, Bert Zwart, Jose H. Blanchet

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.04013

zbMATH Keywords

Lévy processesrandom walksheavy tailssample path large deviations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Sample path properties (60G17)

Related Items (5)

Contraction principle for trajectories of random walks and Cramer's theorem for kernel-weighted sums ⋮ Sample-path large deviations for a class of heavy-tailed Markov-additive processes ⋮ Heavy loads and heavy tails ⋮ Queue length asymptotics for the multiple-server queue with heavy-tailed Weibull service times ⋮ Large deviations for stochastic fluid networks with Weibullian tails

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