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Large deviations for a class of tempered subordinators and their inverse processes

Leonenko, Mykola ORCID:, Macci, Claudio and Pacchiarotti, Barbara 2021. Large deviations for a class of tempered subordinators and their inverse processes. Proceedings of the Royal Society of Edinburgh: Section A Mathematics 151 (6) , pp. 2030-2050. 10.1017/prm.2020.95

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We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper is a non-central moderate deviations result. More precisely we mean a class of large deviation principles that fill the gap between the (trivial) weak convergence of some non-Gaussian identically distributed random variables to their common law, and the convergence of some other related random variables to a constant. Some other minor results concern large deviations for the inverse of the tempered subordinators considered in this paper; actually, in some results, these inverse processes appear as random time-changes of other independent processes.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Cambridge University Press
ISSN: 0308-2105
Date of First Compliant Deposit: 17 December 2020
Date of Acceptance: 30 November 2020
Last Modified: 07 Nov 2023 07:00

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