Large deviations for Poisson random measures and processes with independent increments

被引：10
|
作者：
Léonard, C
机构：
[1] Univ Paris 10, Equipe Modal 10, F-92001 Nanterre, France
[2] Univ Paris 11, Math Lab, UMR C8628, F-91405 Orsay, France
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2000年 / 85卷 / 01期
关键词：
large deviations; Poisson point processes; Poisson random measures; processes with independent increments; Orlicz spaces;
D O I：
10.1016/S0304-4149(99)00067-8
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Large deviation principles are proved for rescaled Poisson random measures. As a consequence, Freidlin-Wentzell type large deviations:results for processes with independent increments are obtained in situations where exponential moments are infinite. (C) 2000 Elsevier Science B.V. All rights reserved. MSG: 60F10; 60G55, 60G57; 60J30.
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页码：93 / 121
页数：29
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