Large deviations for Markov bridges with jumps
2014 (English)In: Journal of Mathematical Analysis and Applications, ISSN 0022-247X, E-ISSN 1096-0813, Vol. 416, no 1, 1-12 p.Article in journal (Refereed) Published
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.
Place, publisher, year, edition, pages
Elsevier , 2014. Vol. 416, no 1, 1-12 p.
Markov bridge; Large deviation principle; Truncated stable process; Duality
IdentifiersURN: urn:nbn:se:liu:diva-106820DOI: 10.1016/j.jmaa.2014.02.031ISI: 000334898100001OAI: oai:DiVA.org:liu-106820DiVA: diva2:720214