Mihail Bazhba. Jose Blanchet. Chang-Han Rhee. Bert Zwart. “Sample path large deviations for Lévy processes and random walks with Weibull increments.” Ann. Appl. Probab. 30 (6) 2695 – 2739, December 2020. https://doi.org/10.1214/20-AAP1570

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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 topology, and by an application to a first passage problem.

Authors
Mihail Bazhba, Jose Blanchet, Chang-Han Rhee, Bert Zwart
Publication date
2020/12/1
Volume
30
Issue
6
Pages
2695-2739