Exact asymptotics for large deviation probabilities of normalized Brownian bridge with applications to empirical processes
نویسندگان
چکیده
منابع مشابه
Sharp Large Deviation for the Energy of α-Brownian Bridge
where W is a standard Brownian motion, t ∈ [0, T), T ∈ (0,∞), and the constant α > 1/2. Let P α denote the probability distribution of the solution {X t , t ∈ [0, T)} of (1). The α-Brownian bridge is first used to study the arbitrage profit associatedwith a given future contract in the absence of transaction costs by Brennan and Schwartz [1]. α-Brownian bridge is a time inhomogeneous diffusion ...
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as a straightforward generalization of (1). To understand the convergence properties of αn it is a natural question to investigate the quantities (2) sup C∈C |αn(C)| and sup f∈F |αn(f)|, respectively. In the simple case of ξ1, ξ2, . . . being “ordinary” real random variables and C being the class of subintervals of R, a result of this type is the well-known Glivenko–Cantelli theorem. In the gen...
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The busy period for a queue is cast as the area swept under the random walk until it first returns to zero. Encompassing non-i.i.d. increments, the large-deviations asymptotics of the busy period B is addressed, under the assumption that the increments satisfy standard conditions, including a negative drift. The main conclusions provide insight on the probability of a large busy period, and the...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 1991
ISSN: 0898-1221
DOI: 10.1016/0898-1221(91)90185-7