A moderate deviation principle for stochastic Volterra equation

DOI10.1016/J.SPL.2016.10.033zbMATH Open1356.60107OpenAlexW2555701452MaRDI QIDQ504460FDOQ504460

Authors: Ran Wang, Nian Yao, Shuguang Zhang, Yu-meng Li 

Publication date: 16 January 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.10.033

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zbMATH Keywords

stochastic differential equationfractional Brownian motionmoderate deviation principleweak convergence methodstochastic Volterra equations

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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• Large deviation for stochastic volterra equation in the Besov-Orlicz space and application

Cited In (12)

• The moderate deviation principle for minimizers of convex processes
• Large deviation principle for the mean reflected stochastic differential equation with jumps
• Large deviations for fractional volatility models with non-Gaussian volatility driver
• Moderate deviations for rough differential equations
• Moderate deviations for stochastic tidal dynamics equations with multiplicative Gaussian noise
• Moderate deviations for stochastic Kuramoto–Sivashinsky equation
• Central limit theorem and moderate deviation principle for McKean-Vlasov SDEs
• Moderate deviation principle for multivalued stochastic differential equations
• Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations
• Moderate deviation principle for the 2D stochastic convective Brinkman-Forchheimer equations
• A numerical method for solving stochastic Volterra-Fredholm integral equation
• Large and moderate deviations for stochastic Volterra systems

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