Large deviations for processes on half-line: Random walk and compound Poisson process
Fima C. Klebaner, A. A. Mogulskiĭ · Sibirskie Elektronnye Matematicheskie Izvestiya · 2019
We establish, under the Cramer exponential moment condition in a neighbourhood of zero, the Extended Large Deviation Principle for the Random Walk and the Compound Poisson processes in the metric space V of functions of finite variation on [0, ∞) with the modified Borovkov metric.