A singular large deviations phenomenon

Mihai Gradinaru; Samuel Herrmann; Bernard Roynette

Annales de l'I.H.P. Probabilités et statistiques (2001)

  • Volume: 37, Issue: 5, page 555-580
  • ISSN: 0246-0203

How to cite

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Gradinaru, Mihai, Herrmann, Samuel, and Roynette, Bernard. "A singular large deviations phenomenon." Annales de l'I.H.P. Probabilités et statistiques 37.5 (2001): 555-580. <http://eudml.org/doc/77699>.

@article{Gradinaru2001,
author = {Gradinaru, Mihai, Herrmann, Samuel, Roynette, Bernard},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {purely discontinuous processes; finite variation processes; Brownian excursions; completely monotone Levy density},
language = {eng},
number = {5},
pages = {555-580},
publisher = {Elsevier},
title = {A singular large deviations phenomenon},
url = {http://eudml.org/doc/77699},
volume = {37},
year = {2001},
}

TY - JOUR
AU - Gradinaru, Mihai
AU - Herrmann, Samuel
AU - Roynette, Bernard
TI - A singular large deviations phenomenon
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2001
PB - Elsevier
VL - 37
IS - 5
SP - 555
EP - 580
LA - eng
KW - purely discontinuous processes; finite variation processes; Brownian excursions; completely monotone Levy density
UR - http://eudml.org/doc/77699
ER -

References

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  13. [13] D. Revuz, M. Yor, Continuous Martingales and Brownian Motion, Springer-Verlag, 1994. Zbl0804.60001MR1303781
  14. [14] S.O. Rice, The integral of the absolute value of the pinned Wiener process calculation of its probability density by numerical integration, Ann. Probab.10 (1982) 240-243. Zbl0479.60080MR637390
  15. [15] M. Rosenblatt, On a class of Markov processes, Trans. Amer. Math. Soc.71 (1951) 120-135. Zbl0045.07703MR43406
  16. [16] L.A. Shepp, On the integral of the absolute value of the pinned Wiener process, Ann. Probab.10 (1982) 234-239. Zbl0479.60079MR637389

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