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Non-central moderate deviations for compound fractional Poisson processes

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FD2W01 - Deterministic and stochastic fractional differential equations and jump processes

The term “moderate deviations” is often used in the literatureto mean a class of large deviation principles that, in some sense,fill the gap between a convergence in probability to zero (governedby a large deviation principle) and a weak convergence to a centeredNormal distribution. We talk about “non-central moderate deviations”when the weak convergence is towards a non-Gaussian distribution.In this paper we study non-central moderate deviations for compoundfractional Poisson processes with light-tailed jumps.This is a joint work with Luisa Beghin.

This talk is part of the Isaac Newton Institute Seminar Series series.

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