In this paper we consider a family of processes which satisfies the large deviation principle with a good rate function; then we prove the large deviation principle for the family of the corresponding time-integrated negative parts, with the application of the so-called contraction principle. An explicit expression of the rate function is presented for a class of examples.
Macci, C. (2008). Large deviations for the time-integrated negative parts of some processes. STATISTICS & PROBABILITY LETTERS, 78(1), 75-83 [10.1016/j.spl.2007.05.024].
Large deviations for the time-integrated negative parts of some processes
MACCI, CLAUDIO
2008-01-01
Abstract
In this paper we consider a family of processes which satisfies the large deviation principle with a good rate function; then we prove the large deviation principle for the family of the corresponding time-integrated negative parts, with the application of the so-called contraction principle. An explicit expression of the rate function is presented for a class of examples.File in questo prodotto:
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