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

DOI10.1214/24-EJP1115arXiv2010.10751MaRDI QIDQ6126988

Bert Zwart, Bohan Chen, Chang-Han Rhee

Publication date: 10 April 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.10751

zbMATH Keywords

heavy tailspower lawMarkov additive processstochastic recurrence equationsample-path large deviations

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05) Large deviations (60F10) Sample path properties (60G17) Convergence of probability measures (60B10)

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