Large deviations for stochastic Volterra equations (Q1567213): Difference between revisions

The authors establish a large deviations principle for the family of processes \(\{X^{\varepsilon}:\varepsilon>0\}\) of solutions of the stochastic Volterra equation \[ X_{t}^{\varepsilon}=x_{0}+\sum_{j=1}^{k}\int_{0}^{t} \varepsilon\sigma_{j}(t,s,X_{s}^{\varepsilon}) dW_{s}^{j} + \int_{0}^{t}b(t,s,X_{s}^{\varepsilon}) ds, \] where the coefficients satisfy Lipschitz condition in \(x\) and Hölder condition in \(t\) uniformly with respect to the other variables. Such problems were also studied under more restrictive conditions by C. Rovira and M. Sanz-Solé. The large deviations principle is proved using a refinement [see also \textit{R. Sowers}, Probab. Theory Relat. Fields 92, No. 3, 393-421 (1992; Zbl 0767.60025), \textit{C. Rovira} and \textit{M. Sanz-Solé}, J. Theor. Probab. 9, No. 4, 863-901 (1996; Zbl 0878.60040), \textit{M. Ledoux}, in: Séminaire de probabilités XXIV. Lect. Notes Math. 1426, 1-14 (1990; Zbl 0701.60020) and \textit{E. Mayer-Wolf, D. Nualart} and \textit{V. Pérez-Abreu}, in: Séminaire de probabilités XXVI. Lect. Notes Math. 1526, 11-31 (1992; Zbl 0782.60026)] of Azencott's method [see \textit{R. Azencott}, in: Ecole d'été de probabilités de Saint-Flour VIII-1978. Lect. Notes Math. 774, 1-176 (1980; Zbl 0435.60028) and also \textit{H. Doss} and \textit{P. Priouret}, in: Séminaire de probabilités XVII. Lect. Notes Math. 986, 353-370 (1983; Zbl 0529.60061)]. As applications, a stochastic differential equation driven by the fractional Brownian motion and a hyperbolic stochastic partial differential equation are discussed.