Moderate Deviations and Strassen’s Law for Additive Processes

Franziska Kühn () and René L. Schilling ()
Additional contact information
Franziska Kühn: Technische Universität Dresden
René L. Schilling: Technische Universität Dresden

Journal of Theoretical Probability, 2016, vol. 29, issue 2, 632-652

Abstract: Abstract We establish a moderate deviation principle for processes with independent increments under certain growth conditions for the characteristics of the process. Using this moderate deviation principle, we give a new proof of Strassen’s functional law of the iterated logarithm. In particular, we show that any square-integrable Lévy process satisfies Strassen’s law.

Keywords: Moderate deviations; Additive processes; Strassen’s law; Functional limit theorem; Primary: 60F10; Secondary: 60F17; 60G51; 60G17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10959-014-0584-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:29:y:2016:i:2:d:10.1007_s10959-014-0584-6

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-014-0584-6

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().