Abstract
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.
Original language | English (US) |
---|---|
Pages (from-to) | 2695-2739 |
Number of pages | 45 |
Journal | Annals of Applied Probability |
Volume | 30 |
Issue number | 6 |
DOIs | |
State | Published - Dec 2020 |
Keywords
- Heavy tails
- Lévy processes
- Random walks
- Sample path large deviations
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty