An example of large deviations for a stationary process

O. V. Gulinsky, R. Sh Liptser

Research output: Contribution to journalArticlepeer-review

Abstract

We give an example of large deviations for a family (Xεt)t≧0, ε > 0, with Ẋεt = a(Xεt)+b(Xεtt/ε, where ηt is a stationary process obeying the Wold decomposition: ηt = ∫t-∞h(t-; s) dNs with respect to a homogeneous process Nt with independent square integrable increments.

Original languageEnglish
Pages (from-to)201-217
Number of pages17
JournalTheory of Probability and its Applications
Volume44
Issue number1
DOIs
StatePublished - Mar 1999

Keywords

  • Large deviation
  • Skorokhod space
  • Wold decomposition

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