Work

Noncentral moderate deviations for time-changed Lévy processes with inverse of stable subordinators

Year: 2024

Type: article

Abstract: This paper presents some extensions of recent noncentral moderate deviation results. In the first part, the results in [Statist. Probab. Lett. 185, Paper No. 109424, 8 pp. (2022)] are generalized by considering a general Lévy process $\{S(t):t\ge 0\}$ instead of a compound Poisson process. In the second part, it is assumed that $\{S(t):t\ge 0\}$ has bounded variation and is not a subordinator; thus $\{S(t):t\ge 0\}$ can be seen as the difference of two independent nonnull subordinators. In this way, the results in [Mod. Stoch. Theory Appl. 11, 43–61] for Skellam processes are generalized.

Source: Modern Stochastics Theory and Applications

DOI: 10.15559/24-vmsta269

Authors: Antonella Iuliano, Claudio Macci, Alessandra Meoli

Institutions: University of Basilicata, University of Rome Tor Vergata, University of Salerno

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: diamond

Funders: Istituto Nazionale di Alta Matematica "Francesco Severi", Università degli Studi di Roma Tor Vergata, Gruppo Nazionale per il Calcolo Scientifico