Large Deviation Principle for a Form of Compound Nonhomogeneous Poisson Process

被引：0

作者：

杨文权 ^{[1
]}

胡亦钧 ^{[2
]}

机构：

[1] School of Mathematics and Computer Science, Jianghan University

[2] School of Mathematics and Statistics, Wuhan University

来源：

Journal of Donghua University(English Edition) | 2011年 / 28卷 / 02期

基金：

中国国家自然科学基金;

关键词：

large deviation principle; compound Poisson process; weak convergence;

D O I：

10.19884/j.1672-5220.2011.02.022

中图分类号：

O211.6 [随机过程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

By the Cramér method, the large deviation principle for a form of compound Poisson process S(t)=∑N(t)i=1h(t-Si)Xi is obtained,where N(t), t>0, is a nonhomogeneous Poisson process with intensity λ(t)>0, Xi, i≥1, are i.i.d. nonnegative random variables independent of N(t), and h(t), t>0, is a nonnegative monotone real function. Consequently, weak convergence for S(t) is also obtained.

引用

页码：217 / 221

页数：5

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