Moderate deviation principles for stochastic differential equations with jumps

Budhiraja, Amarjit ^[3] ; Dupuis, Paul ^[1] ; Ganguly, Arnab ^[2]
1. [1] Brown University
  
  Brown University
  
  City of Providence, Estados Unidos
2. [2] University of Louisville
  
  University of Louisville
  
  Estados Unidos
3. [3] University of North Carolina (Chapel Hill)
Mostrar afiliaciones +
Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 44, Nº. 3, 2016, págs. 1723-1775
Idioma: inglés
DOI: 10.1214/15-AOP1007
Enlaces
- Texto completo
Resumen
- Moderate deviation principles for stochastic differential equations driven by a Poisson random measure (PRM) in finite and infinite dimensions are obtained. Proofs are based on a variational representation for expected values of positive functionals of a PRM.