Large deviations for Poisson random measures and processes with independent increments

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.

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Year of publication:	2000
Authors:	Léonard, C.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 85.2000, 1, p. 93-121
Publisher:	Elsevier
Keywords:	Large deviations Poisson point processes Poisson random measures Processes with independent increments Orlicz spaces

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875519