MODERATE DEVIATION PRINCIPLES FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS

• 成果类型: Article
• 署名作者: Budhiraja, Amarjit; Dupuis, Paul; Ganguly, Arnab
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Brown University; University of Louisville
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/15-AOP1007
• 发表日期: 2016
• 页码: 1723-1775
• 关键词: dependent random-variables; markov-chains; empirical measures; probabilities; sums; martingales; diffusion; time

摘要

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.