Sample-Path Large Deviations for Functionals of Poisson Cluster Processes
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866916851270811648 |
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| author | Baeriswyl, Fabien Wintenberger, Olivier |
| author_facet | Baeriswyl, Fabien Wintenberger, Olivier |
| contents | We establish sample-path large deviation principles for the centered cumulative functional of marked Poisson cluster processes in the Skorokhod space equipped with the M1 topology, under joint regular variation assumptions on the marks and the offspring distributions governing the propagation mechanism. These findings can also be interpreted as hidden regular variation of the cluster processes' functionals, extending the results in Dombry et al. (2022) to cluster processes with heavy-tailed characteristics, including mixed Binomial Poisson cluster processes and Hawkes processes. Notably, by restricting to the adequate subspace of measures on D([0, 1], R+), and applying the correct normalization and scaling to the paths of the centered cumulative functional, the limit measure concentrates on paths with multiple large jumps. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_17363 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Sample-Path Large Deviations for Functionals of Poisson Cluster Processes Baeriswyl, Fabien Wintenberger, Olivier Probability We establish sample-path large deviation principles for the centered cumulative functional of marked Poisson cluster processes in the Skorokhod space equipped with the M1 topology, under joint regular variation assumptions on the marks and the offspring distributions governing the propagation mechanism. These findings can also be interpreted as hidden regular variation of the cluster processes' functionals, extending the results in Dombry et al. (2022) to cluster processes with heavy-tailed characteristics, including mixed Binomial Poisson cluster processes and Hawkes processes. Notably, by restricting to the adequate subspace of measures on D([0, 1], R+), and applying the correct normalization and scaling to the paths of the centered cumulative functional, the limit measure concentrates on paths with multiple large jumps. |
| title | Sample-Path Large Deviations for Functionals of Poisson Cluster Processes |
| topic | Probability |
| url | https://arxiv.org/abs/2504.17363 |