Large deviation principle for a mixed fractional and jump diffusion process

DOI10.1515/ROSE-2022-2083MaRDI QIDQ2101305zbMATH OpenOpenAlexFDO

Authors Raphaël Diatta, Clément Manga, Alassane Diédhiou

Publication date 5 December 2022

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2022-2083

zbMATH Keywords

fractional Brownian motionlarge deviation principlePoisson processstochastic differential equation

Mathematics Subject Classification ID

Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on general state spaces (60J76)

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Cites work

• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
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• Infinite dimensional analysis of pure jump Lévy processes on the Poisson space
• Large deviation probabilities in estimation of Poisson random measures
• Large deviations for Poisson random measures and processes with independent increments
• Large deviations for stochastic partial differential equations driven by a Poisson random measure
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic differential equations driven by fractional Brownian motion and Poisson point process
• Stochastic partial differential equations. A modeling, white noise functional approach

Cited in

(3)

• Transport processes with random jump rate
• Large deviation for several fractional Brownian motions and diffusion process
• Large deviation principle for the mean reflected stochastic differential equation with jumps

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