2 citations · 3 across the 6 of their papers we have counts for
6 papers · 1 filter
Large deviations for two scaled diffusions
R. Liptser
We formulate large deviations principle (LDP) for diffusion pair , where first component has a small diffusion parameter while the second is ergodic Markov…
Limit theorems on large deviations for semimartingales
Robert Sh. Liptser, Anatolii A. Pukhalskii
We consider a sequence of semimartingales. Each is a weak solution to an Itô equation with respect to a Wiener process and a Poissonian martinga…
Cramer's theorem for nonnegative multivariate point processes with independent increments
F. Klebaner, R. Liptser
We consider a continuous time version of Cramer's theorem with nonnegative summands where is a sequence o…
Likely path to extinction for simple branching model (Large Deviations approach)
F. Klebaner, R. Liptser
We give an explicit formula for the most likely path to extinction for the Galton-Watson processes with large initial population. We establish this result with the help of the larg…
On a role of predictor in the filtering stability
P. Chigansky, R. Liptser
When is a nonlinear filter stable with respect to its initial condition? In spite of the recent progress, this question still lacks a complete answer in general. Currently availabl…
On tail distributions of supremum and quadratic variation of local martingales
R. Liptser, A. Novikov
We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martinga…