Abstract:
Considering a process with independent increments under the moment Cramér condition, we establish the extended large deviation principle in the space of functions without discontinuities of the second kind which is endowed with the Borovkov metric.
Keywords:compound Poisson process, process with independent increments, Cramér condition, deviation rate function, large deviation principle, function with bounded variation, space of functions without discontinuities of the second kind, Borovkov metric.
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