The large deviation principle for a compound Poisson process

Standard

The large deviation principle for a compound Poisson process. / Mogul’skiĭ, A. A.

In: Siberian Advances in Mathematics, Vol. 27, No. 3, 01.07.2017, p. 160-186.

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

Harvard

Mogul’skiĭ, AA 2017, 'The large deviation principle for a compound Poisson process', Siberian Advances in Mathematics, vol. 27, no. 3, pp. 160-186. https://doi.org/10.3103/S1055134417030026

APA

Mogul’skiĭ, A. A. (2017). The large deviation principle for a compound Poisson process. Siberian Advances in Mathematics, 27(3), 160-186. https://doi.org/10.3103/S1055134417030026

Vancouver

Mogul’skiĭ AA. The large deviation principle for a compound Poisson process. Siberian Advances in Mathematics. 2017 Jul 1;27(3):160-186. doi: 10.3103/S1055134417030026

Author

Mogul’skiĭ, A. A. / The large deviation principle for a compound Poisson process. In: Siberian Advances in Mathematics. 2017 ; Vol. 27, No. 3. pp. 160-186.

BibTeX

@article{ba75300c8e9440528077791b0ec44e0b,

title = "The large deviation principle for a compound Poisson process",

abstract = "For a compound Poisson process, under the moment Cram{\'e}r condition, the extended large deviation principle is established in the space of functions of bounded variation with the Borovkov metric.",

keywords = "Borovkov metric, Chebyshev-type inequality, compound Poisson process, compound renewal process, Cram{\'e}r condition, deviation rate function, extended large deviation principle, function of bounded variation, large deviation principle",

author = "Mogul{\textquoteright}skiĭ, {A. A.}",

note = "Publisher Copyright: {\textcopyright} 2017, Allerton Press, Inc.",

year = "2017",

month = jul,

day = "1",

doi = "10.3103/S1055134417030026",

language = "English",

volume = "27",

pages = "160--186",

journal = "Siberian Advances in Mathematics",

issn = "1055-1344",

publisher = "PLEIADES PUBLISHING INC",

number = "3",

}

RIS

TY - JOUR

T1 - The large deviation principle for a compound Poisson process

AU - Mogul’skiĭ, A. A.

PY - 2017/7/1

Y1 - 2017/7/1

N2 - For a compound Poisson process, under the moment Cramér condition, the extended large deviation principle is established in the space of functions of bounded variation with the Borovkov metric.

AB - For a compound Poisson process, under the moment Cramér condition, the extended large deviation principle is established in the space of functions of bounded variation with the Borovkov metric.

KW - Borovkov metric

KW - Chebyshev-type inequality

KW - compound Poisson process

KW - compound renewal process

KW - Cramér condition

KW - deviation rate function

KW - extended large deviation principle

KW - function of bounded variation

KW - large deviation principle

UR - http://www.scopus.com/inward/record.url?scp=85028601052&partnerID=8YFLogxK

U2 - 10.3103/S1055134417030026

DO - 10.3103/S1055134417030026

M3 - Article

AN - SCOPUS:85028601052

VL - 27

SP - 160

EP - 186

JO - Siberian Advances in Mathematics

JF - Siberian Advances in Mathematics

SN - 1055-1344

IS - 3

ER -

ID: 9916910