Large deviation principles for telegraph processes

Alessandro De Gregorio and Claudio Macci

Statistics & Probability Letters, 2012, vol. 82, issue 11, 1874-1882

Abstract: The aim of this paper is to present large deviation results for some telegraph random motions. We are not aware of any other results of this kind except the ones for the classical telegraph process (with drift). We start with the large deviation principle of the conditional laws given the number of changes of direction for the classical case; moreover, we compare the rate function with the one obtained for the non-conditional distributions. Finally, we study an inhomogeneous model and a planar telegraph motion.

Keywords: Conditional laws; Inhomogeneous Poisson processes; Markov additive processes; Random motions (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2012.06.023

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