An example of large deviations for a stationary process

O. V. Gulinsky; R. Sh Liptser

doi:10.1137/s0040585x97977483

An example of large deviations for a stationary process

O. V. Gulinsky, R. Sh Liptser

Engineering General

Research output: Contribution to journal › Article › peer-review

Abstract

We give an example of large deviations for a family (X^ε_t)_t≧0, ε > 0, with Ẋ^ε_t = a(X^ε_t)+b(X^ε_t)η _t/ε, where η_t is a stationary process obeying the Wold decomposition: η_t = ∫^t_-∞h(t-; s) dN_s with respect to a homogeneous process N_t with independent square integrable increments.

Original language	English
Pages (from-to)	201-217
Number of pages	17
Journal	Theory of Probability and its Applications
Volume	44
Issue number	1
DOIs	https://doi.org/10.1137/s0040585x97977483
State	Published - Mar 1999

Keywords

Large deviation
Skorokhod space
Wold decomposition

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An example of large deviations for a stationary process

Abstract

Keywords

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