Moderate Deviations and Strassen’s Law for Additive Processes

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Contributors

Abstract

We establish a moderate deviation principle for processes with independent increments under certain growth conditions for the characteristics of the process. Using this moderate deviation principle, we give a new proof of Strassen’s functional law of the iterated logarithm. In particular, we show that any square-integrable Lévy process satisfies Strassen’s law.

Details

Original languageEnglish
Pages (from-to)632-652
Number of pages21
JournalJournal of Theoretical Probability
Volume29
Issue number2
Publication statusPublished - 1 Jun 2016
Peer-reviewedYes

Keywords

Keywords

  • Additive processes, Functional limit theorem, Moderate deviations, Strassen’s law