Results 21 to 30 of about 7,821,936 (179)
Discounted payments theorems for large deviations
Lietuvos Matematikos Rinkinys, 2016 Let Z(t) = Σ j=1N(t) Xj, t ≥ 0, be a stochastic process, where Xj are independent identically distributed random variables, and N(t) is non-negative integer-valued process with independent increments.
Aurelija Kasparavičiūtė +1 more
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Large Deviations Asymptotics of Rectangular Spherical Integral
, 2023 International audienceIn this article we study the Dyson Bessel process, which describes the evolution of singular values of rectangular matrix Brownian motions, and prove a large deviation principle for its empirical particle density.
Huang, Jiaoyang +3 more
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Large Deviations of Estimators
The Annals of Statistics, 1986 The authors investigate the asymptotic behaviour of estimators \(T_ n\) of g(\(\theta)\) using its inaccuracy rate \[ e(\epsilon,\theta,T_ n)=- \liminf_{n\to \infty}n^{-1} \log P_{\theta}\{\| T_ n- g(\theta)\| >\epsilon \} \] for fixed \(\epsilon >0\).
Kester, A. D. M., Kallenberg, W. C. M.
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Large deviations of jump process fluxes [PDF]
, 2019 We study a general class of systems of interacting particles that randomly interact to form new or different particles. In addition to the distribution of particles we consider the fluxes, defined as the rescaled number of jumps of each type that take ...
Renger, Michiel D.R. +2 more
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Large deviations for martingales
Stochastic Processes and their Applications, 2001 The authors present new large deviations results for partial sums of martingale differences. Provided boundedness of an exponential moment they prove optimality of the estimate \(\text{e}^{-cn^{1/3}}\) instead of the estimate \(\text{e}^{-cn}\) known for the i.i.d.\ case. Provided boundedness of a \(p\)th moment (\(p\geq 2\)) they show optimality of an
Lesigne, Emmanuel, Volný, Dalibor
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Large deviations for macroscopic observables of heavy-tailed matrices
64 pagesWe consider a finite collection of independent Hermitian heavy-tailed random matrices of growing dimension. Our model includes the L\'evy matrices proposed by Bouchaud and Cizeau, as well as sparse random matrices with O(1) non-zero entries per ...
Guionnet, Alice +2 more
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Sample-Path Large Deviations in Credit Risk
Journal of Applied Mathematics, 2011 The event of large losses plays an important role in credit risk. As these large losses are typically rare, and portfolios usually consist of a large number of positions, large deviation theory is the natural tool to analyze the tail asymptotics of the ...
V. J. G. Leijdekker +2 more
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Stochastic resetting and large deviations
SciPost Physics Lecture NotesStochastic resetting has been a subject of considerable interest within statistical physics, both as means of improving completion times of complex processes such as searches and as a paradigm for generating nonequilibrium stationary states.
Martin R. Evans, John C. Sunil
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On Probabilities of Large Deviations [PDF]
, 1994 The paper is concerned with the estimation of the probability that the empirical distribution of n independent, identically distributed random vectors is contained in a given set of distributions. Sections 1–3 are a survey of some of the literature on the subject.
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