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Processes with catastrophes: Large deviation point of view Научная публикация

Журнал Stochastic Processes and their Applications
ISSN: 0304-4149
Вых. Данные Год: 2024, Том: 176, Номер статьи : 104447, Страниц : 19 DOI: 10.1016/j.spa.2024.104447
Ключевые слова Markov process, Stochastic processes with catastrophes, Law of large numbers, Large deviation principle, Rate function
Авторы Logachov A. 1,2 , Logachova O. 3 , Yambartsev A. 4
Организации
1 Lab. of Probability Theory and Math. Statistics, Sobolev Institute of Mathematics
2 Department of Computer Science in Economics, Novosibirsk State Technical University
3 Department of High Mathematics, Siberian State University of Geosystems and Technologies
4 Department of Statistics, Institute of Mathematics and Statistics, University of São Paulo

Информация о финансировании (1)

1 Министерство науки и высшего образования РФ
Математический центр в Академгородке 		075-15-2019-1613, 075-15-2022-281

Реферат: In this paper, we propose a new definition of catastrophes and present our results on large deviations for Poisson processes with catastrophes that satisfy this definition. Our earlier work focused on (almost) uniformly distributed catastrophes, but the current paper extends the results to a larger class of catastrophes. We show that the rate function remains the same regardless of the distribution of catastrophic events. Additionally, we extend and generalize our previous results on the limiting behavior of the supremum of the considered processes.
Библиографическая ссылка: Logachov A. , Logachova O. , Yambartsev A.
Processes with catastrophes: Large deviation point of view
Stochastic Processes and their Applications. 2024. V.176. 104447 :1-19. DOI: 10.1016/j.spa.2024.104447 WOS Scopus РИНЦ OpenAlex
Даты:
Поступила в редакцию: 2 июн. 2023 г.
Принята к публикации: 23 июл. 2024 г.
Опубликована в печати: 29 июл. 2024 г.
Опубликована online: 1 авг. 2024 г.
Идентификаторы БД:
Web of science: WOS:001287528300001
Scopus: 2-s2.0-85200134709
РИНЦ: 74048611
OpenAlex: W4401074572
Цитирование в БД:
БД Цитирований
Web of science 1
Scopus 1
OpenAlex 1
Альметрики: