Moderate deviation principles for stochastic differential equations with jumps | Zendy

Amarjit Budhiraja | Zendy; Paul Dupuis | Zendy; Arnab Ganguly | Zendy

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Moderate deviation principles for stochastic differential equations with jumps

Author(s) -

Amarjit Budhiraja,

Paul Dupuis,

Arnab Ganguly

Publication year - 2016

Publication title -

the annals of probability

Language(s) - English

Resource type - Journals

eISSN - 2168-894X

pISSN - 0091-1798

DOI - 10.1214/15-aop1007

Subject(s) - mathematics , poisson distribution , stochastic differential equation , large deviations theory , mathematical proof , measure (data warehouse) , mathematical analysis , representation (politics) , rate function , random measure , probability measure , statistics , law , geometry , database , politics , computer science , political science

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.

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