Limit Theorems on Large Deviations for Markov Stochastic Processes

Inhaltsverzeichnis

0.1 Problems on large deviations for stochastic processes.- 0.2 Two opposite types of behaviour of probabilities of large deviations.- 0.3 Rough theorems on large deviations; the action functional.- 0.4 Survey of work on large deviations for stochastic processes.- 0.5 The scheme for obtaining rough theorems on large deviations.- 0.6 The expression: k (?) S (?) is the action functional uniformly over a specified class of initial points.- 0.7 Chapters 3 - 6: a survey.- 0.8 Numbering.
- 1. General Notions, Notation, Auxiliary Results.
- 1.1. General notation. Legendre transformation.
- 1.2. Compensators. Lévy measures.
- 1.3. Compensating operators of Markov processes.
- 2. Estimates Associated with the Action Functional for Markov Processes.
- 2.1. The action functional.
- 2.2. Derivation of the lower estimate for the probability of passing through a tube.
- 2.3. Derivation of the upper estimate for the probability of going far from the sets$$ {{\Phi }_{{{{x}_{0}};\left[ {0,T} \right]}}}\left( i \right),{{\bar{\Phi }}_{{{{x}_{0}};\left[ {0,T} \right]}}}\left( i \right) $$.
- 2.4. The truncated action functional and the estimates associated with it.
- 3. The Action Functional for Families of Markov Processes.
- 3.1. The properties of the functional$$ {{S}_{{{{T}_{1}},{{T}_{2}}}}}\left( \phi \right) $$.
- 3.2. Theorems on the action functional for families of Markov processes in Rr. The case of finite exponential moments.
- 3.3. Transition to manifolds. Action functional theorems associated with truncated cumulants.
- 4. Special Cases.
- 4.1. Conditions A - E of § 3.1. - § 3.3.
- 4.2. Patterns of processes with frequent small jumps. The cases of very large deviations, not very large deviations, and super-large deviations.
- 4.3. The case of very large deviations.
- 4.4. The case of not very large deviations.
- 4.5. Some other patterns of not very large deviations.
- 4.6. The case of super-large deviations.
- 5. Precise Asymptotics for Large Deviations.
- 5.1. The case of the Wiener process.
- 5.2. Processes with frequent small jumps.
- 6. Asymptotics of the Probability of Large Deviations Due to Large Jumps of a Markov Process.
- 6.1. Conditions imposed on the family of processes. Auxiliary results.
- 6.2. Main theorems.
- 6.3. Applications to sums of independent random variables.- References.