Abstract:
We consider a homogeneous process S(t) on [0,∞) with independent increments, establish the local and ordinary large deviation principles for the trajectories of the processes sT(t):=1TS(tT), t∈[0,1], as T→∞, and obtain a series of inequalities for the distributions of the trajectories of S(t).
Keywords:
process with independent increments, Cramer's condition, function of deviations, large deviation principle (LDP), local large deviation principle (local LDP), Chebyshev-type inequality, convex set.
Citation:
A. A. Borovkov, A. A. Mogul'skiǐ, “Inequalities and principles of large deviations for the trajectories of processes with independent increments”, Sibirsk. Mat. Zh., 54:2 (2013), 286–297; Siberian Math. J., 54:2 (2013), 217–226