Large Deviations for SDE driven by Heavy-tailed L\'evy Processes
Probability
2023-09-15 v3
Abstract
We obtain sample-path large deviations for a class of one-dimensional stochastic differential equations with bounded drifts and heavy-tailed L\'evy processes. These heavy-tailed L\'evy processes do not satisfy the exponential integrability condition, which is a common restriction on the L\'evy processes in existing large deviations contents. We further prove that the solution processes satisfy a weak large deviation principle with a discrete rate function and logarithmic speed. We also show that they do not satisfy the full large deviation principle.
Cite
@article{arxiv.2101.03856,
title = {Large Deviations for SDE driven by Heavy-tailed L\'evy Processes},
author = {Wei Wei and Qiao Huang and Jinqiao Duan},
journal= {arXiv preprint arXiv:2101.03856},
year = {2023}
}
Comments
18 pages