Moderate Deviation Principles for Stochastic Differential Equations with Jumps
Probability
2014-01-29 v1
Abstract
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.
Cite
@article{arxiv.1401.7316,
title = {Moderate Deviation Principles for Stochastic Differential Equations with Jumps},
author = {Amarjit Budhiraja and Paul Dupuis and Arnab Ganguly},
journal= {arXiv preprint arXiv:1401.7316},
year = {2014}
}
Comments
53 pages. arXiv admin note: text overlap with arXiv:1211.0466 by other authors