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)

Review text

The authors establish a large deviation principle for the solution of a mixed stochastic differential equation driven by a fractional Brownian motion and a Poisson process. They apply the methods of \textit{M. I. Freidlin} and \textit{A. D. Wentzell} [Random perturbations of dynamical systems. Transl. from the Russian by Joseph Szuecs. 2nd ed. New York, NY: Springer (1998; Zbl 0922.60006)] and of \textit{R. Azencott} et al. [Ecole d'ete de probabilités de Saint-Flour VIII-1978. Edite par P. L. Hennequin. Berlin-Heidelberg-New York: Springer-Verlag (1980; Zbl 0417.60001)].

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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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