Large deviations for Poisson random measures and processes with independent increments

C. Léonard

Stochastic Processes and their Applications, 2000, vol. 85, issue 1, 93-121

Abstract: 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.

Keywords: Large; deviations; Poisson; point; processes; Poisson; random; measures; Processes; with; independent; increments; Orlicz; spaces (search for similar items in EconPapers)
Date: 2000
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