Yule process sample path asymptotics - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Reports (Research Report) Year : 2005

Yule process sample path asymptotics


This research report presents two results on sample paths for the Yule process: one fluid limit theorem and one sample path large deviation result. The main interest does not lie in results by themselves but in the understanding the change of measure gives on the way large deviation occurs in the case of non-homogeneous processes. Two different phenomena, with respect to classical large deviations principles, are exhibited. First, the probability decay rate has the same form whatever the speed of divergence from the standard behavior. Second, a large deviation event does not take place by ``twisting'' constantly the transition rates but this deformation is concentrated on an infinitely small proportion of the transition, yet on an infinite number of transitions!
Fichier principal
Vignette du fichier
RR-5577.pdf (228.96 Ko) Télécharger le fichier

Dates and versions

inria-00070429 , version 1 (19-05-2006)


  • HAL Id : inria-00070429 , version 1


Arnaud de La Fortelle. Yule process sample path asymptotics. [Research Report] RR-5577, INRIA. 2005, pp.14. ⟨inria-00070429⟩
91 View
272 Download


Gmail Facebook Twitter LinkedIn More