The large deviation principle for a compound Poisson process

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Abstract

For a compound Poisson process, under the moment Cramér condition, the extended large deviation principle is established in the space of functions of bounded variation with the Borovkov metric.

Original languageEnglish
Pages (from-to)160-186
Number of pages27
JournalSiberian Advances in Mathematics
Volume27
Issue number3
DOIs
Publication statusPublished - 1 Jul 2017

Keywords

  • Borovkov metric
  • Chebyshev-type inequality
  • compound Poisson process
  • compound renewal process
  • Cramér condition
  • deviation rate function
  • extended large deviation principle
  • function of bounded variation
  • large deviation principle

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