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

  1. Mario Abundo
  2. Claudio Macci
  3. Gabriele Stabile

Abstract

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.

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Probability and Mathematical Statistics

32, z. 1, 2012

Strony od 25 do 39

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