The method of stochastic exponentials for large deviations
type: Item
instance of: scholarly article
title: The method of stochastic exponentials for large deviations
zbMATH Open document ID: 0812.60026
DOI: 10.1016/0304-4149(94)00004-2
author: A. A. Puhalskii
published in: Stochastic Processes and their Applications
publication date: 1995-05-14T00:00:00Z
review text: A method for proving the large deviation principle for processes with paths in the Skorokhod space is presented. This method is analogous to the method of stochastic exponentials in weak convergence. It is applied to derive new results on large deviations for semimartingales as well as for processes with independent increments.
reviewed by: O.Brockhaus
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60J99
zbMATH DE Number: 713916
zbMATH Keywords: exponential tightness
zbMATH Keywords: Cramér condition
zbMATH Keywords: large deviation principle
zbMATH Keywords: stochastic exponentials in weak convergence
zbMATH Keywords: large deviations for semimartingales
zbMATH Keywords: processes with independent increments
MaRDI profile type: Publication
full work available at URL: 0304-4149(94)00004-2
OpenAlex ID: W2004327268
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description: scientific article; zbMATH DE number 713916