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

Abundo M., Macci C., Stabile G.

Probability and Mathematical Statistics

2012

Vol. 32, Fasc. 1

25--39

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.