Small deviations of iterated processes in the space of trajectories

Andrei Frolov

Open Mathematics (2013)

  • Volume: 11, Issue: 12, page 2089-2098
  • ISSN: 2391-5455

Abstract

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We derive logarithmic asymptotics of probabilities of small deviations for iterated processes in the space of trajectories. We find conditions under which these asymptotics coincide with those of processes generating iterated processes. When these conditions fail the asymptotics are quite different.

How to cite

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Andrei Frolov. "Small deviations of iterated processes in the space of trajectories." Open Mathematics 11.12 (2013): 2089-2098. <http://eudml.org/doc/269130>.

@article{AndreiFrolov2013,
abstract = {We derive logarithmic asymptotics of probabilities of small deviations for iterated processes in the space of trajectories. We find conditions under which these asymptotics coincide with those of processes generating iterated processes. When these conditions fail the asymptotics are quite different.},
author = {Andrei Frolov},
journal = {Open Mathematics},
keywords = {Small deviation probability; Iterated process; Compound process; small deviation probability; iterated process; compound process},
language = {eng},
number = {12},
pages = {2089-2098},
title = {Small deviations of iterated processes in the space of trajectories},
url = {http://eudml.org/doc/269130},
volume = {11},
year = {2013},
}

TY - JOUR
AU - Andrei Frolov
TI - Small deviations of iterated processes in the space of trajectories
JO - Open Mathematics
PY - 2013
VL - 11
IS - 12
SP - 2089
EP - 2098
AB - We derive logarithmic asymptotics of probabilities of small deviations for iterated processes in the space of trajectories. We find conditions under which these asymptotics coincide with those of processes generating iterated processes. When these conditions fail the asymptotics are quite different.
LA - eng
KW - Small deviation probability; Iterated process; Compound process; small deviation probability; iterated process; compound process
UR - http://eudml.org/doc/269130
ER -

References

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