{"id":"https://openalex.org/W2000111151","doi":"https://doi.org/10.1214/105051605000000502","title":"Functional large deviations for multivariate regularly varying random walks","display_name":"Functional large deviations for multivariate regularly varying random walks","publication_year":2005,"publication_date":"2005-11-01","ids":{"openalex":"https://openalex.org/W2000111151","doi":"https://doi.org/10.1214/105051605000000502","mag":"2000111151"},"language":"en","primary_location":{"id":"doi:10.1214/105051605000000502","doi":"https://doi.org/10.1214/105051605000000502","is_oa":true,"landing_page_url":"https://doi.org/10.1214/105051605000000502","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-15/issue-4/Functional-large-deviations-for-multivariate-regularly-varying-random-walks/10.1214/105051605000000502.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-15/issue-4/Functional-large-deviations-for-multivariate-regularly-varying-random-walks/10.1214/105051605000000502.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029702774","display_name":"Henrik Hult","orcid":"https://orcid.org/0000-0001-9210-121X","observed_orcids":["https://orcid.org/0000-0001-9210-121X"]},"institutions":[{"id":"https://openalex.org/I124055696","display_name":"University of Copenhagen","ror":"https://ror.org/035b05819","country_code":"DK","type":"education","lineage":["https://openalex.org/I124055696"]},{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]},{"id":"https://openalex.org/I86987016","display_name":"KTH Royal Institute of Technology","ror":"https://ror.org/026vcq606","country_code":"SE","type":"education","lineage":["https://openalex.org/I86987016"]}],"countries":["DK","SE","US"],"is_corresponding":false,"raw_author_name":"Henrik Hult","raw_affiliation_strings":["Cornell University , KTH , University of Copenhagen and Cornell University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University , KTH , University of Copenhagen and Cornell University","institution_ids":["https://openalex.org/I124055696","https://openalex.org/I205783295","https://openalex.org/I86987016"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5084135835","display_name":"Filip Lindskog","orcid":"https://orcid.org/0000-0002-0775-9680","observed_orcids":["https://orcid.org/0000-0002-0775-9680"]},"institutions":[{"id":"https://openalex.org/I124055696","display_name":"University of Copenhagen","ror":"https://ror.org/035b05819","country_code":"DK","type":"education","lineage":["https://openalex.org/I124055696"]},{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]},{"id":"https://openalex.org/I86987016","display_name":"KTH Royal Institute of Technology","ror":"https://ror.org/026vcq606","country_code":"SE","type":"education","lineage":["https://openalex.org/I86987016"]}],"countries":["DK","SE","US"],"is_corresponding":false,"raw_author_name":"Filip Lindskog","raw_affiliation_strings":["Cornell University , KTH , University of Copenhagen and Cornell University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University , KTH , University of Copenhagen and Cornell University","institution_ids":["https://openalex.org/I124055696","https://openalex.org/I205783295","https://openalex.org/I86987016"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Thomas Mikosch","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I124055696","display_name":"University of Copenhagen","ror":"https://ror.org/035b05819","country_code":"DK","type":"education","lineage":["https://openalex.org/I124055696"]},{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]},{"id":"https://openalex.org/I86987016","display_name":"KTH Royal Institute of Technology","ror":"https://ror.org/026vcq606","country_code":"SE","type":"education","lineage":["https://openalex.org/I86987016"]}],"countries":["DK","SE","US"],"is_corresponding":false,"raw_author_name":"Thomas Mikosch","raw_affiliation_strings":["Cornell University , KTH , University of Copenhagen and Cornell University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University , KTH , University of Copenhagen and Cornell University","institution_ids":["https://openalex.org/I124055696","https://openalex.org/I205783295","https://openalex.org/I86987016"]}]},{"author_position":"last","author":{"id":null,"display_name":"Gennady Samorodnitsky","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I124055696","display_name":"University of Copenhagen","ror":"https://ror.org/035b05819","country_code":"DK","type":"education","lineage":["https://openalex.org/I124055696"]},{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]},{"id":"https://openalex.org/I86987016","display_name":"KTH Royal Institute of Technology","ror":"https://ror.org/026vcq606","country_code":"SE","type":"education","lineage":["https://openalex.org/I86987016"]}],"countries":["DK","SE","US"],"is_corresponding":false,"raw_author_name":"Gennady Samorodnitsky","raw_affiliation_strings":["Cornell University , KTH , University of Copenhagen and Cornell University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University , KTH , University of Copenhagen and Cornell University","institution_ids":["https://openalex.org/I124055696","https://openalex.org/I205783295","https://openalex.org/I86987016"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":4.7672,"has_fulltext":true,"cited_by_count":68,"citation_normalized_percentile":{"value":0.93796032,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"15","issue":"4","first_page":"2651","last_page":"2680"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9951000213623047,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9951000213623047,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13500","display_name":"Probability and Statistical Research","score":0.0032999999821186066,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/large-deviations","display_name":"large deviations","score":0.9539999961853027},{"id":"https://openalex.org/keywords/partial-sum-processes","display_name":"partial sum processes","score":0.8960000276565552},{"id":"https://openalex.org/keywords/heavy-tailed-distributions","display_name":"heavy-tailed distributions","score":0.8159999847412109},{"id":"https://openalex.org/keywords/cadlag-functions","display_name":"c\u00e0dl\u00e0g functions","score":0.9210000038146973},{"id":"https://openalex.org/keywords/ruin-probability","display_name":"ruin probability","score":0.9769999980926514}],"concepts":[{"id":"https://openalex.org/C75438885","wikidata":"https://www.wikidata.org/wiki/Q3403615","display_name":"Large deviations theory","level":2,"score":0.8791999816894531},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7803999781608582},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.696399986743927},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.6836000084877014},{"id":"https://openalex.org/C2778572836","wikidata":"https://www.wikidata.org/wiki/Q380933","display_name":"Space (punctuation)","level":2,"score":0.4643000066280365},{"id":"https://openalex.org/C15964574","wikidata":"https://www.wikidata.org/wiki/Q7295534","display_name":"Rate function","level":3,"score":0.4514000117778778},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4465999901294708},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.43689998984336853},{"id":"https://openalex.org/C122123141","wikidata":"https://www.wikidata.org/wiki/Q176623","display_name":"Random variable","level":2,"score":0.41530001163482666},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3528999984264374},{"id":"https://openalex.org/C120934525","wikidata":"https://www.wikidata.org/wiki/Q849149","display_name":"Absolute deviation","level":2,"score":0.30169999599456787},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.298799991607666},{"id":"https://openalex.org/C22679943","wikidata":"https://www.wikidata.org/wiki/Q159375","display_name":"Standard deviation","level":2,"score":0.29499998688697815},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.29019999504089355},{"id":"https://openalex.org/C38180746","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate analysis","level":2,"score":0.28529998660087585},{"id":"https://openalex.org/C154072304","wikidata":"https://www.wikidata.org/wiki/Q5747218","display_name":"Heterogeneous random walk in one dimension","level":3,"score":0.27549999952316284},{"id":"https://openalex.org/C43596424","wikidata":"https://www.wikidata.org/wiki/Q98124957","display_name":"Probability and statistics","level":2,"score":0.2736000120639801},{"id":"https://openalex.org/C177384507","wikidata":"https://www.wikidata.org/wiki/Q1149000","display_name":"Multivariate normal distribution","level":3,"score":0.2711000144481659},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.26600000262260437},{"id":"https://openalex.org/C138405894","wikidata":"https://www.wikidata.org/wiki/Q3179949","display_name":"Multivariate random variable","level":3,"score":0.258899986743927},{"id":"https://openalex.org/C122203268","wikidata":"https://www.wikidata.org/wiki/Q5862903","display_name":"Probability theory","level":2,"score":0.25450000166893005},{"id":"https://openalex.org/C73586568","wikidata":"https://www.wikidata.org/wiki/Q2600211","display_name":"Parameter space","level":2,"score":0.2533000111579895}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1214/105051605000000502","doi":"https://doi.org/10.1214/105051605000000502","is_oa":true,"landing_page_url":"https://doi.org/10.1214/105051605000000502","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-15/issue-4/Functional-large-deviations-for-multivariate-regularly-varying-random-walks/10.1214/105051605000000502.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:math/0602460","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/math/0602460","pdf_url":"https://arxiv.org/pdf/math/0602460","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:CULeuclid:euclid.aoap/1133965775","doi":null,"is_oa":false,"landing_page_url":"https://projecteuclid.org/euclid.aoap/1133965775","pdf_url":null,"source":{"id":"https://openalex.org/S4306400787","display_name":"Project Euclid (Cornell University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"doi:10.48550/arxiv.math/0602460","doi":"https://doi.org/10.48550/arxiv.math/0602460","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.math/0602460","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.1214/105051605000000502","doi":"https://doi.org/10.1214/105051605000000502","is_oa":true,"landing_page_url":"https://doi.org/10.1214/105051605000000502","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-15/issue-4/Functional-large-deviations-for-multivariate-regularly-varying-random-walks/10.1214/105051605000000502.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G6400223042","display_name":"Theory and Applications of Heavy Tails and Long Range Dependence","funder_award_id":"0303493","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"},{"id":"https://openalex.org/F4320320924","display_name":"Schweizerischer Nationalfonds zur F\u00f6rderung der Wissenschaftlichen Forschung","ror":"https://ror.org/00yjd3n13"},{"id":"https://openalex.org/F4320322581","display_name":"Vetenskapsr\u00e5det","ror":"https://ror.org/03zttf063"},{"id":"https://openalex.org/F4320323915","display_name":"Swiss Re","ror":"https://ror.org/0377apf83"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2000111151.pdf","grobid_xml":"https://content.openalex.org/works/W2000111151.grobid-xml"},"referenced_works_count":17,"referenced_works":["https://openalex.org/W1568906510","https://openalex.org/W1969913742","https://openalex.org/W1972009622","https://openalex.org/W1976485684","https://openalex.org/W1980620433","https://openalex.org/W1980639850","https://openalex.org/W2005924742","https://openalex.org/W2014250529","https://openalex.org/W2051432422","https://openalex.org/W2077589171","https://openalex.org/W2089010354","https://openalex.org/W2110617809","https://openalex.org/W2112075496","https://openalex.org/W2318523674","https://openalex.org/W2502254989","https://openalex.org/W4206769493","https://openalex.org/W4310513670"],"related_works":["https://openalex.org/W7100262456","https://openalex.org/W7097503193","https://openalex.org/W1907359964","https://openalex.org/W3009800737","https://openalex.org/W2068203270","https://openalex.org/W1968339320","https://openalex.org/W2370167286","https://openalex.org/W2808478907","https://openalex.org/W4394645507","https://openalex.org/W2507699580"],"abstract_inverted_index":{"We":[0,63],"extend":[1],"classical":[2],"results":[3,46,67,90],"by":[4],"A.":[5],"V.":[6],"Nagaev":[7],"[Izv.":[8],"Akad.":[9],"Nauk":[10,14],"UzSSR":[11],"Ser.":[12],"Fiz.\u2013Mat.":[13],"6":[15],"(1969)":[16,22],"17\u201322,":[17],"Theory":[18],"Probab.":[19],"Appl.":[20],"14":[21],"51\u201364,":[23],"193\u2013208]":[24],"on":[25,57],"large":[26,54,97],"deviations":[27],"for":[28,81],"sums":[29],"of":[30,40,51,60,73,95,113],"i.i.d.":[31,41],"regularly":[32,42],"varying":[33,43],"random":[34,83,116],"variables":[35],"to":[36,71,109],"partial":[37,75],"sum":[38,76],"processes":[39],"vectors.":[44],"The":[45],"are":[47],"stated":[48],"in":[49,100],"terms":[50],"a":[52,114],"heavy-tailed":[53,96],"deviation":[55,98],"principle":[56],"the":[58,74,93,105,110],"space":[59],"c\u00e0dl\u00e0g":[61],"functions.":[62],"illustrate":[64],"how":[65],"these":[66],"can":[68],"be":[69],"applied":[70],"functionals":[72],"process,":[77],"including":[78],"ruin":[79],"probabilities":[80],"multivariate":[82,115],"walks":[84],"and":[85],"long":[86],"strange":[87],"segments.":[88],"These":[89],"make":[91],"precise":[92],"idea":[94],"heuristics:":[99],"an":[101],"asymptotic":[102],"sense,":[103],"only":[104],"largest":[106],"step":[107],"contributes":[108],"extremal":[111],"behavior":[112],"walk.":[117]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":6},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":6},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}