Large Deviations for Stochastic Differential Equations Driven by Semimartingales
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arXiv
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| Format: | Preprint |
| Published: |
2019
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| _version_ | 1866909282944942080 |
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| author | Huang, Qiao Wei, Wei Duan, Jinqiao |
| author_facet | Huang, Qiao Wei, Wei Duan, Jinqiao |
| contents | We prove a large deviation principle for stochastic differential equations driven by semimartingales, with additive controls. Conditions are given in terms of characteristics of driven semimartingales, so that if the noise-control pairs satisfy a large deviation principle with some good rate function, so do the solution processes. There is no joint exponential tightness assumption for noise-control-solution triplets and no uniform exponential tightness assumption for noise. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_1910_05720 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Large Deviations for Stochastic Differential Equations Driven by Semimartingales Huang, Qiao Wei, Wei Duan, Jinqiao Probability Dynamical Systems 60F10, 60H10, 60G44, 60G51, 60G57 We prove a large deviation principle for stochastic differential equations driven by semimartingales, with additive controls. Conditions are given in terms of characteristics of driven semimartingales, so that if the noise-control pairs satisfy a large deviation principle with some good rate function, so do the solution processes. There is no joint exponential tightness assumption for noise-control-solution triplets and no uniform exponential tightness assumption for noise. |
| title | Large Deviations for Stochastic Differential Equations Driven by Semimartingales |
| topic | Probability Dynamical Systems 60F10, 60H10, 60G44, 60G51, 60G57 |
| url | https://arxiv.org/abs/1910.05720 |