Limit theorems on large deviations for semimartingales
Probability
2007-05-23 v1
Abstract
We consider a sequence of semimartingales. Each 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 . We use a new approach based on of exponential tightness. This allows us to establish the large deviation principle under weaker assumptions than before.
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}
}