Modern Stochastics: Theory and Applications

The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergence to a centered Normal distribution. The notion of noncentral moderate deviations is used when the weak convergence is towards a non-Gaussian distribution. In this paper, noncentral moderate deviation results are presented for two fractional Skellam processes known in the literature (see [20]). It is established that, for the fractional Skellam process of type 2 (for which one can refer to the recent results for compound fractional Poisson processes in [3]), the convergences to zero are usually faster because one can prove suitable inequalities between rate functions.

The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergence to a centered normal distribution. In this paper, some examples of classes of large deviation principles of this kind are presented, but the involved random variables converge weakly to Gumbel, exponential and Laplace distributions.

Suitable families of random variables having power series distributions are considered, and their asymptotic behavior in terms of large (and moderate) deviations is studied. Two examples of fractional counting processes are presented, where the normalizations of the involved power series distributions can be expressed in terms of the Prabhakar function. The first example allows to consider the counting process in [Integral Transforms Spec. Funct. 27 (2016), 783–793], the second one is inspired by a model studied in [J. Appl. Probab. 52 (2015), 18–36].

Sharp large deviation results of Bahadur–Ranga Rao type are provided for the q-norm of random vectors distributed on the ${\ell _{p}^{n}}$-ball ${\mathbb{B}_{p}^{n}}$ according to the cone probability measure or the uniform distribution for $1\le q<p<\infty $, thereby furthering previous large deviation results by Kabluchko, Prochno and Thäle in the same setting. These results are then applied to deduce sharp asymptotics for intersection volumes of different ${\ell _{p}^{n}}$-balls in the spirit of Schechtman and Schmuckenschläger, and for the length of the projection of an ${\ell _{p}^{n}}$-ball onto a line with uniform random direction. The sharp large deviation results are proven by providing convenient probabilistic representations of the q-norms, employing local limit theorems to approximate their densities, and then using geometric results for asymptotic expansions of Laplace integrals to integrate these densities and derive concrete probability estimates.

We consider continuous-time Markov chains on integers which allow transitions to adjacent states only, with alternating rates. This kind of processes are useful in the study of chain molecular diffusions. We give explicit formulas for probability generating functions, and also for means, variances and state probabilities of the random variables of the process. Moreover we study independent random time-changes with the inverse of the stable subordinator, the stable subordinator and the tempered stable subordinator. We also present some asymptotic results in the fashion of large deviations. These results give some generalizations of those presented in [Journal of Statistical Physics 154 (2014), 1352–1364].

In this paper we investigate a problem of large deviations for continuous Volterra processes under the influence of model disturbances. More precisely, we study the behavior, in the near future after T, of a Volterra process driven by a Brownian motion in a case where the Brownian motion is not directly observable, but only a noisy version is observed or some linear functionals of the noisy version are observed. Some examples are discussed in both cases.

A moderate deviations principle for the law of a stochastic Burgers equation is proved via the weak convergence approach. In addition, some useful estimates toward a central limit theorem are established.

The problem of (pathwise) large deviations for conditionally continuous Gaussian processes is investigated. The theory of large deviations for Gaussian processes is extended to the wider class of random processes – the conditionally Gaussian processes. The estimates of level crossing probability for such processes are given as an application.

Let $\{\xi _{1},\xi _{2},\dots \}$ be a sequence of independent random variables, and η be a counting random variable independent of this sequence. In addition, let $S_{0}:=0$ and $S_{n}:=\xi _{1}+\xi _{2}+\cdots +\xi _{n}$ for $n\geqslant 1$. We consider conditions for random variables $\{\xi _{1},\xi _{2},\dots \}$ and η under which the distribution functions of the random maximum $\xi _{(\eta )}:=\max \{0,\xi _{1},\xi _{2},\dots ,\xi _{\eta }\}$ and of the random maximum of sums $S_{(\eta )}:=\max \{S_{0},S_{1},S_{2},\dots ,S_{\eta }\}$ belong to the class of consistently varying distributions. In our consideration the random variables $\{\xi _{1},\xi _{2},\dots \}$ are not necessarily identically distributed.

The Galton–Watson process is the simplest example of a branching process. The relationship between the offspring distribution, and, when the extinction occurs almost surely, the distribution of the total progeny is well known. In this paper, we illustrate the relationship between these two distributions when we consider the large deviation rate function (provided by Cramér’s theorem) for empirical means of i.i.d. random variables. We also consider the case with a random initial population. In the final part, we present large deviation results for sequences of estimators of the offspring mean based on i.i.d. replications of total progeny.