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Large deviations for Markov bridges with jumps
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
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
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.

Place, publisher, year, edition, pages
Elsevier , 2014. Vol. 416, no 1, 1-12 p.
Keyword [en]
Markov bridge; Large deviation principle; Truncated stable process; Duality
National Category
Natural Sciences
Identifiers
URN: urn:nbn:se:liu:diva-106820DOI: 10.1016/j.jmaa.2014.02.031ISI: 000334898100001OAI: oai:DiVA.org:liu-106820DiVA: diva2:720214
Available from: 2014-05-28 Created: 2014-05-23 Last updated: 2017-12-05

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Yang, Xiangfeng

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