Three results on hitting a rare set by the increments of an $\mathbb{R}^d$-valued random process with stationary independent increments are presented: the first time that it occurs, the duration of such a segment and the typical trajectory during the segment.
Publié le : 1994-05-14
Classification:
Large deviations,
large segmental sums,
Levy processes,
60F10,
60J30
@article{1177005067,
author = {Dembo, Amir and Karlin, Samuel and Zeitouni, Ofer},
title = {Large Exceedances for Multidimensional Levy Processes},
journal = {Ann. Appl. Probab.},
volume = {4},
number = {4},
year = {1994},
pages = { 432-447},
language = {en},
url = {http://dml.mathdoc.fr/item/1177005067}
}
Dembo, Amir; Karlin, Samuel; Zeitouni, Ofer. Large Exceedances for Multidimensional Levy Processes. Ann. Appl. Probab., Tome 4 (1994) no. 4, pp. 432-447. http://gdmltest.u-ga.fr/item/1177005067/