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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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Submitted on : Tuesday, April 2, 2013 - 11:28:01 AM
Last modification on : Friday, May 20, 2022 - 9:04:46 AM
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Nizar Demni, Marguerite Zani. Large Deviations for Statistics of the Jacobi Process. Stochastic Processes and their Applications, Elsevier, 2009, 119 (2), pp.518--533. ⟨hal-00796319⟩



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