Moderate deviation principles for stochastic differential equations with jumps
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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.
The paper deals with moderate deviation problems for stochastic dynamical systems such as finite- and infinite-dimensional SDEs with jumps. For simplicity, the setting considers only the noise in terms of a Poisson random measure without the Brownian component. Moderate deviation problem means that probabilities of deviations have a smaller order than in large deviation theory. In this case, the deviation order is \(n^{1/2}a_n,\) which is of lower order than \(n,\) where the \(a_n\)-rate function has a quadratic form. The moderate deviation problems bridge the gap between a central limit approximation and a large deviations approximation, since \(a_n\to+\infty\) as slowly as desired.
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