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arxiv: 1211.5610 · v1 · pith:TVM6OVS2new · submitted 2012-11-23 · 🧮 math.PR

Precise asymptotics for large deviations of integral forms

classification 🧮 math.PR
keywords epsilonasymptoticslargedeviationsformsintegralmathbbprecise
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For suitable families of locally infinitely divisible Markov processes $\{\xi^{{\epsilon}}_t\}_{0\leq t\leq T}$ with frequent small jumps depending on a small parameter $\epsilon>0,$ precise asymptotics for large deviations of integral forms $\mathbb{E}^{\epsilon}[\exp\{{\epsilon}^{-1}F(\xi^{\epsilon})\}]$ are proved for smooth functionals $F.$ The main ingredient of the proof in this paper is a recent result regarding the asymptotic expansions of the expectations $\mathbb{E}^{\epsilon}[G(\xi^{\epsilon})\}]$ for smooth $G.$ Several connections between these large deviation asymptotics and partial integro-differential equations are included as well.

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