A large deviation principle for the normalized excursion of an α-stable Lévy process without negative jumps
We establish a large deviation principle for the normalized excursion and bridge of an α-stable Lévy process without negative jumps, with 1 < α < 2. Based on this, we derive precise asymptotics for the tail distributions of functionals of the normalized excursion and bridge, in particu...
| Main Authors: | , , |
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| Format: | Internet publication |
| Language: | English |
| Published: |
2023
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