Sample path large deviations for lévy processes and random walks with weibull increments

Mihail Bazhba, Jose Blanchet, Chang Han Rhee, Bert Zwart

Research output: Contribution to journalArticlepeer-review

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 languageEnglish (US)
Pages (from-to)2695-2739
Number of pages45
JournalAnnals of Applied Probability
Volume30
Issue number6
DOIs
StatePublished - Dec 2020

Keywords

  • Heavy tails
  • Lévy processes
  • Random walks
  • Sample path large deviations

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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