Moderate Deviation Principles for Stochastic Differential Equations with Jumps

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.

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Document Details

Document Type
Technical Report
Publication Date
Jan 15, 2014
Accession Number
ADA616930

Entities

People

  • Amarjit Budhiraja
  • Arnab Ganguly
  • Paul Dupuis

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Banach Space
  • Brownian Motion
  • Computational Science
  • Differential Equations
  • Equations
  • Hilbert Space
  • Integral Equations
  • Markov Chains
  • Markov Processes
  • New York
  • Partial Differential Equations
  • Probabilistic Models
  • Probability
  • Probability Distributions
  • Random Variables
  • Statistics
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.
  • Fluid Dynamics.
  • Operations Research