1 citations · 1 across the 2 of their papers we have counts for
4 papers
Large deviations for stochastic fluid networks with Weibullian tails
Mihail Bazhba, Chang-Han Rhee, Bert Zwart
We consider a stochastic fluid network where the external input processes are compound Poisson with heavy-tailed Weibullian jumps. Our results comprise of large deviations estimate…
Large deviations asymptotics for unbounded additive functionals of diffusion processes
Mihail Bazhba, Jose Blanchet, Roger J. A. Laeven +1
We study large deviations asymptotics for a class of unbounded additive functionals, interpreted as normalized accumulated areas, of one-dimensional Langevin diffusions with sub-li…
Sample-path large deviations for unbounded additive functionals of the reflected random walk
Mihail Bazhba, Jose Blanchet, Chang-Han Rhee +1
We prove a sample path large deviation principle (LDP) with sub-linear speed for unbounded functionals of certain Markov chains induced by the Lindley recursion. The LDP holds in t…
Sample-path large deviations for Lévy processes and random walks with Weibull increments
Mihail Bazhba, Jose Blanchet, Chang-Han Rhee +1
We study sample-path large deviations for Lévy processes and random walks with heavy-tailed jump-size distributions that are of Weibull type. Our main results include an extended f…