Functional Large Deviations for Multivariate Regularly Varying Random Walks †

Abstract

We extend classical results by A.V. Nagaev (1969) on large deviations for sums of iid regularly varying random variables to partial sum processes of iid regularly varying vectors. The results are stated in terms of a heavy-tailed large deviation principle on the space of càdlàg functions. We illustrate how these results can be applied to functionals of the… (More)

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