Large deviations for vector-valued Lévy processes

A. de Acosta

Stochastic Processes and their Applications, 1994, vol. 51, issue 1, 75-115

Abstract: The large deviation principle is proved for the rescaled and normalized paths of a Lévy process taking values in a separable Banach space B, in the uniform topology of D([0, 1], B), under an exponential integrability condition. Other results are obtained when this condition does not hold.

Keywords: Vector-valued; Lévy; process; Large; deviations; Lévy; process; with; sample; paths; of; bounded; variation (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (15)

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