Large deviation principle for a mixed fractional and jump diffusion process
From MaRDI portal
Publication:2101305
DOI10.1515/rose-2022-2083zbMath1505.60078OpenAlexW4308798871MaRDI QIDQ2101305
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
Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on general state spaces (60J76)
Cites Work
- Applied stochastic control of jump diffusions.
- Stochastic partial differential equations. A modeling, white noise functional approach
- Large deviations for Poisson random measures and processes with independent increments
- Exponential stability of impulsive neutral stochastic functional differential equation driven by fractional Brownian motion and Poisson point processes
- Large deviation probabilities in estimation of Poisson random measures
- Large deviations for stochastic partial differential equations driven by a Poisson random measure
- Stochastic differential equations driven by fractional Brownian motion and Poisson point process
- An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Infinite dimensional analysis of pure jump Lévy processes on the Poisson space
- Unnamed Item
- Unnamed Item
- Unnamed Item