Sample-Path Large Deviations for Lévy Processes and Random Walks with Lognormal Increments
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arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866917819285766144 |
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| author | Su, Zhe Rhee, Chang-Han |
| author_facet | Su, Zhe Rhee, Chang-Han |
| contents | The large deviations theory for heavy-tailed processes has seen significant advances in the recent past. In particular, Rhee et al. (2019) and Bazhba et al. (2020) established large deviation asymptotics at the sample-path level for Lévy processes and random walks with regularly varying and (heavy-tailed) Weibull-type increments. This leaves the lognormal case -- one of the three most prominent classes of heavy-tailed distributions, alongside regular variation and Weibull -- open. This article establishes the \emph{extended large deviation principle} (extended LDP) at the sample-path level for one-dimensional Lévy processes and random walks with lognormal-type increments. Building on these results, we also establish the extended LDPs for multi-dimensional processes with independent coordinates. We demonstrate the sharpness of these results by constructing counterexamples, thereby proving that our results cannot be strengthened to a standard LDP under $J_1$ topology and $M_1'$ topology. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_20799 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Sample-Path Large Deviations for Lévy Processes and Random Walks with Lognormal Increments Su, Zhe Rhee, Chang-Han Probability 60F10 The large deviations theory for heavy-tailed processes has seen significant advances in the recent past. In particular, Rhee et al. (2019) and Bazhba et al. (2020) established large deviation asymptotics at the sample-path level for Lévy processes and random walks with regularly varying and (heavy-tailed) Weibull-type increments. This leaves the lognormal case -- one of the three most prominent classes of heavy-tailed distributions, alongside regular variation and Weibull -- open. This article establishes the \emph{extended large deviation principle} (extended LDP) at the sample-path level for one-dimensional Lévy processes and random walks with lognormal-type increments. Building on these results, we also establish the extended LDPs for multi-dimensional processes with independent coordinates. We demonstrate the sharpness of these results by constructing counterexamples, thereby proving that our results cannot be strengthened to a standard LDP under $J_1$ topology and $M_1'$ topology. |
| title | Sample-Path Large Deviations for Lévy Processes and Random Walks with Lognormal Increments |
| topic | Probability 60F10 |
| url | https://arxiv.org/abs/2410.20799 |