Large deviations for Markov bridges with jumps

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:416

Article

Yang, Xiangfeng

关键词: Markov bridge;    Large deviation principle;    Truncated stable process;    Duality;   

DOI  :  10.1016/j.jmaa.2014.02.031

来源: Elsevier

【 摘 要 】

In this paper, we consider a family of Markov bridges with jumps constructed from truncated stable processes. These Markov bridges depend on a small parameter h > 0, and have fixed initial and terminal positions. We propose a new method to prove a large deviation principle for this family of bridges based on compact level sets, change of measures, duality and various global and local estimates of transition densities for truncated stable processes. (C) 2014 Elsevier Inc. All rights reserved.

【 授权许可】

Free