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, 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.
2008
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore MAT/06 - PROBABILITA' E STATISTICA MATEMATICA
English
large deviations; ruin theory; levy process
Macci, C. (2008). Large deviations for the time-integrated negative parts of some processes, 78(1), 75-83 [10.1016/j.spl.2007.05.024].
Macci, C
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/29435
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