We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper is a non-central moderate deviations result. More precisely we mean a class of large deviation principles that fill the gap between the (trivial) weak convergence of some non-Gaussian identically distributed random variables to their common law, and the convergence of some other related random variables to a constant. Some other minor results concern large deviations for the inverse of the tempered subordinators considered in this paper; actually, in some results, these inverse processes appear as random time-changes of other independent processes.

Leonenko, N., Macci, C., Pacchiarotti, B. (2021). Large deviations for a class of tempered subordinators and their inverse processes. PROCEEDINGS OF THE ROYAL SOCIETY OF EDINBURGH. SECTION A. MATHEMATICS, 151(6), 2030-2050 [10.1017/prm.2020.95].

Large deviations for a class of tempered subordinators and their inverse processes

Macci C;Pacchiarotti B
2021-01-01

Abstract

We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper is a non-central moderate deviations result. More precisely we mean a class of large deviation principles that fill the gap between the (trivial) weak convergence of some non-Gaussian identically distributed random variables to their common law, and the convergence of some other related random variables to a constant. Some other minor results concern large deviations for the inverse of the tempered subordinators considered in this paper; actually, in some results, these inverse processes appear as random time-changes of other independent processes.
2021
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore MAT/06 - PROBABILITA' E STATISTICA MATEMATICA
English
Leonenko, N., Macci, C., Pacchiarotti, B. (2021). Large deviations for a class of tempered subordinators and their inverse processes. PROCEEDINGS OF THE ROYAL SOCIETY OF EDINBURGH. SECTION A. MATHEMATICS, 151(6), 2030-2050 [10.1017/prm.2020.95].
Leonenko, N; Macci, C; Pacchiarotti, B
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/282689
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