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 language | English |
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Pages (from-to) | 632-652 |
Number of pages | 21 |
Journal | Journal of Theoretical Probability |
Volume | 29 |
Issue number | 2 |
Publication status | Published - 1 Jun 2016 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Additive processes, Functional limit theorem, Moderate deviations, Strassen’s law