Asymptotic results for exit probabilities of stochastic processes governed by an integral type rate function

• Autorzy: Abundo M. , Macci C. , Stabile G.
• Języki publikacji: EN

Abstrakty

EN

In this paper we present asymptotic results for exit probabilities of stochastic processes in the fashion of large deviations. The main result concerns stochastic processes which satisfy the large deviation principle with an integral type rate function. We also present results for exit probabilities of linear diffusions and particular growth processes, and we give two examples.

Słowa kluczowe

EN

large deviation; Freidlin–Wentzell theory; most likely path

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2012
• Tom: Vol. 32, Fasc. 1
• Strony: 25--39
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Abundo M.

• Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca Scientifica, I-00133 Rome, Italy

autor

Macci C.

• Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca Scientifica, I-00133 Rome, Italy

autor

Stabile G.

• Dipartimento di Metodi e Modelli per, l’Economia, il Territorio e la Finanza, Sapienza Università di Roma, Via del Castro Laurenziano 9, I-00161 Rome, Italy

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