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Large deviations for extremes of U-processes
Large deviations extremes of U-processes
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2009/9/22
We prove a large deviations principle (LDP) for partial
sums U-processes indexed by the half line. The LDP can be formulated
on a suitable subset of the set of all absolutely continuous paths. We
e...
Extremes of Levy processes with light tails
Poisson process Brownian motion supremum
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2010/3/18
Let X(t) t 0 ,X(0) = 0, be a L´evy process with spectral L´evy measure . Assuming that ((−1, 0)) < 1 and the right tail of is light, we show that in the presence of Brownian co...