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Journal Articles Stochastic Processes and their Applications Year : 2009

Large Deviations for Statistics of the Jacobi Process

Abstract

This paper is aimed to derive large deviations for statistics of Jacobi process already conjectured by M. Zani in her thesis. To proceed, we write in a simpler way the Jacobi semi-group density. Being given by a bilinear sum involving Jacobi polynomials, it di ers from Hermite and Laguerre cases by the quadratic form of its eigenvalues. Our attempt relies on subordinating the process using a suitable random time-change. This will give an analogue of Mehler formula whence we can recover the desired expression by inverting some Laplace transforms. Once we did, an adaptation of Zani's result ([24]) in the non steep case will provide the required large deviations principle.
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Dates and versions

hal-00796319 , version 1 (02-04-2013)

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  • HAL Id : hal-00796319 , version 1

Cite

Nizar Demni, Marguerite Zani. Large Deviations for Statistics of the Jacobi Process. Stochastic Processes and their Applications, 2009, 119 (2), pp.518--533. ⟨hal-00796319⟩
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