Non-central moderate deviations for compound fractional Poisson processes

Luisa Beghin; Claudio Macci

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arXiv · 2109.07862

Non-central moderate deviations for compound fractional Poisson processes

Luisa Beghin·Claudio Macci

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Abstract

The term "moderate deviations" is often used in the literature to mean a class of large deviation principles that, in some sense, fill the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergence to a centered Normal distribution. We talk about "non-central moderate deviations" when the weak convergence is towards a non-Gaussian distribution. In this paper we study non-central moderate deviations for compound fractional Poisson processes with light-tailed jumps.

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Luisa Beghin, Claudio Macci. 2021-09-16. Non-central moderate deviations for compound fractional Poisson processes. https://arxiv.org/abs/2109.07862

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