A moderate deviation principle for stochastic Volterra equation

DOI10.1016/J.SPL.2016.10.033MaRDI QIDQ504460zbMATH OpenOpenAlexFDO

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

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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Cites work

• scientific article; zbMATH DE number 3984248 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A variational representation for positive functionals of infinite dimensional Brownian motion
• Central limit theorem and moderate deviation principle for CKLS model with small random perturbation
• Examples of moderate deviation principle for diffusion processes
• Large deviation for stochastic volterra equation in the Besov-Orlicz space and application
• Large deviations for stochastic Volterra equations
• Large deviations for stochastic Volterra equations in the plane
• Moderate deviation principle for autoregressive processes
• Moderate deviation principles for stochastic differential equations with jumps
• Moderate deviations for a nonparametric estimator of sample coverage
• Moderate deviations for randomly perturbed dynamical systems
• Moderate deviations for stochastic reaction-diffusion equations with multiplicative noise
• Moderate-deviation-based inference for random degeneration in paired rank lists
• On the existence and uniqueness of solutions of stochastic integral equations of the Volterra type
• Stochastic Volterra equations in Banach spaces and stochastic partial differential equation

Cited in

(12)

• Large and moderate deviations for stochastic Volterra systems
• Large deviation principle for the mean reflected stochastic differential equation with jumps
• The moderate deviation principle for minimizers of convex processes
• 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
• Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations
• Moderate deviation principle for multivalued stochastic differential equations
• Moderate deviation principle for the 2D stochastic convective Brinkman-Forchheimer equations
• A numerical method for solving stochastic Volterra-Fredholm integral equation

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