Moderate deviation principles for stochastic differential equations with jumps

• Budhiraja, Amarjit ^[3] ; Dupuis, Paul ^[1] ; Ganguly, Arnab ^[2]
  1. [1] Brown University

     Brown University

     City of Providence, Estados Unidos

     
  2. [2] University of Louisville

     University of Louisville

     Estados Unidos

     
  3. [3] University of North Carolina (Chapel Hill)

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• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 44, Nº. 3, 2016, págs. 1723-1775
• Idioma: inglés
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• Resumen

  • 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.