Eugene Prokopenko (Sobolev Institute of Mathematics and ESSEC CREAR.) 14 Février 2020
vendredi 14 février 2020
Résumé : We analyze the large deviations probabilities for the continuous-time random walk in the case where the i.i.d. jump sizes and times have the light-tailed distribution. In particular, we find the rate function and establish the large deviations principle. Different definitions of the rate function allow us to describe the most probable trajectory for the process to reach a given « large » value.