English

Limit theorems on large deviations for semimartingales

Probability 2007-05-23 v1

Abstract

We consider a sequence Xn=(Xtn)t0,n1X^n=(X^n_t)_{t\ge 0},n\ge 1 of semimartingales. Each XnX^n is a weak solution to an It\^o equation with respect to a Wiener process and a Poissonian martingale measure and is in general non-Markovian process. For this sequence, we prove the large deviation principle in the Skorokhod space D=D[0,)D=D_{[0,\infty)}. We use a new approach based on of exponential tightness. This allows us to establish the large deviation principle under weaker assumptions than before.

Keywords

Cite

@article{arxiv.math/0510028,
  title  = {Limit theorems on large deviations for semimartingales},
  author = {Robert Sh. Liptser and Anatolii A. Pukhalskii},
  journal= {arXiv preprint arXiv:math/0510028},
  year   = {2007}
}