2020-12-01
Sample path large deviations for Lévy processes and random walks with Weibull increments
Publication
Publication
Annals of Applied Probability , Volume 30 - Issue 6 p. 2695- 2739
We study sample path large deviations for Lévy processes and random walks with heavy-tailed jump-size distributions that are of Weibull type. The sharpness and applicability of these results are illustrated by a counterexample proving the nonexistence of a full LDP in the J1 topology, and by an application to a first passage problem.
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| doi.org/10.1214/20-AAP1570 | |
| Annals of Applied Probability | |
| Organisation | Centrum Wiskunde & Informatica, Amsterdam (CWI), The Netherlands |
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Bazhba, M, Blanchet, J, Rhee, C.H, & Zwart, A.P. (2020). Sample path large deviations for Lévy processes and random walks with Weibull increments. Annals of Applied Probability, 30(6), 2695–2739. doi:10.1214/20-AAP1570
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