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Large deviations for Markov bridges with jumps
Linköpings universitet, Matematiska institutionen, Matematisk statistik. Linköpings universitet, Tekniska högskolan.
2014 (engelsk)Inngår i: Journal of Mathematical Analysis and Applications, ISSN 0022-247X, E-ISSN 1096-0813, Vol. 416, nr 1, s. 1-12Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

In this paper, we consider a family of Markov bridges with jumps constructed from truncated stable processes. These Markov bridges depend on a small parameter h greater than 0, and have fixed initial and terminal positions. We propose a new method to prove a large deviation principle for this family of bridges based on compact level sets, change of measures, duality and various global and local estimates of transition densities for truncated stable processes.

sted, utgiver, år, opplag, sider
Elsevier , 2014. Vol. 416, nr 1, s. 1-12
Emneord [en]
Markov bridge; Large deviation principle; Truncated stable process; Duality
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-106820DOI: 10.1016/j.jmaa.2014.02.031ISI: 000334898100001OAI: oai:DiVA.org:liu-106820DiVA, id: diva2:720214
Tilgjengelig fra: 2014-05-28 Laget: 2014-05-23 Sist oppdatert: 2017-12-05

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