Moderately large deviation principles for trajectories of compound renewal processes
Teoriâ veroâtnostej i ee primeneniâ, Tome 64 (2019) no. 2, pp. 399-411 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

Moderate large deviations principles for trajectories of compound renewal processes are put forward assuming that either the Cramér condition is satisfied or weaker moment conditions are satisfied.
Keywords: compound renewal processes, moderate large deviations principle, crude (logarithmic) invariance principle.
Mots-clés : Cramér condition
@article{TVP_2019_64_2_a8,
     author = {A. A. Borovkov},
     title = {Moderately large deviation principles for trajectories of compound renewal processes},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {399--411},
     year = {2019},
     volume = {64},
     number = {2},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2019_64_2_a8/}
}
TY  - JOUR
AU  - A. A. Borovkov
TI  - Moderately large deviation principles for trajectories of compound renewal processes
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2019
SP  - 399
EP  - 411
VL  - 64
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/TVP_2019_64_2_a8/
LA  - ru
ID  - TVP_2019_64_2_a8
ER  - 
%0 Journal Article
%A A. A. Borovkov
%T Moderately large deviation principles for trajectories of compound renewal processes
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2019
%P 399-411
%V 64
%N 2
%U http://geodesic.mathdoc.fr/item/TVP_2019_64_2_a8/
%G ru
%F TVP_2019_64_2_a8
A. A. Borovkov. Moderately large deviation principles for trajectories of compound renewal processes. Teoriâ veroâtnostej i ee primeneniâ, Tome 64 (2019) no. 2, pp. 399-411. http://geodesic.mathdoc.fr/item/TVP_2019_64_2_a8/

[1] A. A. Borovkov, K. A. Borovkov, Asymptotic analysis of random walks. Heavy-tailed distributions, Encyclopedia Math. Appl., Cambridge Univ. Press, Cambridge, 118, xxx+625 pp. | DOI | MR | Zbl

[2] A. A. Borovkov, Asimptoticheskii analiz sluchainykh bluzhdanii. Bystro ubyvayuschie raspredeleniya priraschenii, Fizmatlit, M., 2013, 447 pp. | Zbl

[3] A. A. Borovkov, A. A. Mogul'skii, “Integro-local and integral theorems for sums of random variables with semiexponential distributions”, Siberian Math. J., 47:6 (2006), 990–1026 | DOI | MR | Zbl

[4] A. V. Nagaev, “Cramer large deviations when the extreme conjugate distribution is heavy-tailed”, Theory Probab. Appl., 43:3 (1999), 405–421 | DOI | DOI | MR | Zbl

[5] L. V. Rozovskii, “Estimate from below for large-deviation probabilities of a sum of independent random variables with finite variances”, J. Math. Sci. (N. Y.), 109:6 (2002), 2192–2209 | DOI | MR | Zbl

[6] L. Saulis, V. A. Statulevičius, Limit theorems for large deviations, Math. Appl. (Soviet Ser.), 73, Kluwer Acad. Publ., Dordrecht, 1991, viii+232 pp. | DOI | MR | MR | Zbl | Zbl

[7] S. G. Tkachuk, “Lokalnye predelnye teoremy, dopuskayuschie bolshie ukloneniya, v sluchae ustoichivykh predelnykh zakonov”, Izv. AN UzSSR. Ser. fiz.-matem. nauk, 17:2 (1973), 30–33 | MR | Zbl

[8] A. Ya. Khinchin, “Dve teoremy o stokhasticheskikh protsessakh s odnotipnymi prirascheniyami”, Matem. sb., 3(45):3 (1938), 577–584 | Zbl

[9] A. Araujo, E. Giné, The central limit theorem for real and Banach valued random variables, Wiley Ser. Probab. Math. Statist., John Wiley Sons, New York–Chichester–Brisbane, 1980, xiv+233 pp. | MR | Zbl

[10] R. A. Doney, “A large deviation local limit theorem”, Math. Proc. Cambridge Philos. Soc., 105:3 (1989), 575–577 | DOI | MR | Zbl

[11] N. H. Bingham, C. M. Goldie, J. L. Teugels, Regular variation, Encyclopedia Math. Appl., 27, Cambridge Univ. Press, Cambridge, 1987, xx+491 pp. | DOI | MR | Zbl

[12] A. Gut, Stopped random walks. Limit theorems and applications, Springer Ser. Oper. Res. Financ. Eng., 2nd ed., Springer, New York, 2009, xiv+263 pp. | DOI | MR | Zbl

[13] J. Steinebach, “Invariance principles for renewal processes when only moments of low order exist”, J. Multivariate Anal., 26:2 (1988), 166–183 | DOI | MR | Zbl