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Large deviations for Poisson random measures and processes with independent increments

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  • Léonard, C.

Abstract

Large deviation principles are proved for rescaled Poisson random measures. As a consequence, Freidlin-Wentzell type large deviations results for processes with independent increments are obtained in situations where exponential moments are infinite.

Suggested Citation

  • Léonard, C., 2000. "Large deviations for Poisson random measures and processes with independent increments," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 93-121, January.
    • Handle: RePEc:eee:spapps:v:85:y:2000:i:1:p:93-121
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    References listed on IDEAS

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    1. de Acosta, A., 1994. "Large deviations for vector-valued Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 51(1), pages 75-115, June.
    2. Florens, Danielle & Pham, Huyên, 1998. "Large deviation probabilities in estimation of Poisson random measures," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 117-139, August.
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