Large deviations for the time-integrated negative parts of some processes

被引：2

作者：

Macci, Claudio ^{[1
]}

机构：

[1] Univ Roma Tor Vergata, Dipartimento Matemat, I-00133 Rome, Italy

来源：

STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 01期

关键词：

large deviations; ruin theory; levy process;

D O I：

10.1016/j.spl.2007.05.024

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：75 / 83

页数：9

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