Noncentral moderate deviations for time-changed Lévy processes with inverse of stable subordinators

Abstract

This paper presents some extensions of recent noncentral moderate deviation results. In the first part, the results in [Statist. Probab. Lett. 185, Paper No. 109424, 8 pp. (2022)] are generalized by considering a general Lévy process $\{S(t):t\ge 0\}$ instead of a compound Poisson process. In the second part, it is assumed that $\{S(t):t\ge 0\}$ has bounded variation and is not a subordinator; thus $\{S(t):t\ge 0\}$ can be seen as the difference of two independent nonnull subordinators. In this way, the results in [Mod. Stoch. Theory Appl. 11, 43–61] for Skellam processes are generalized.

Keywords

• Large deviations
• weak convergence
• Mittag-Leffler function
• tempered stable subordinators