On asymptotic behavior of probabilities of large and moderate deviations for some iterated stochastic processes

Abstract

We derive logarithmic asymptotics for probabilities of large deviations for some iterated processes. We show that under appropriate conditions, these asymptotics are the same as those for sums of independent random variables. When these conditions do not hold, the asymptotics of large deviations for iterated processes are quite different. When the iterated process is a homogeneous process with independent increments in which time is replaced by random one, the behavior of large and moderate deviations is studied in the case of finite variance. For this case, the following one-sided moment restriction are considered: the Cramer condition, the Linnik condition, and the existence of moment of order p > 2 for a positive part. Bibliography: 6 titles.