Large Deviations for Stochastic Differential Equations Driven by Semimartingales
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Publication:6327092
arXiv1910.05720MaRDI QIDQ6327092FDOQ6327092
Authors: Qiao Huang, Wei Wei, Jinqiao Duan 
Publication date: 13 October 2019
Abstract: We prove a large deviation principle for stochastic differential equations driven by semimartingales, with additive controls. Conditions are given in terms of characteristics of driven semimartingales, so that if the noise-control pairs satisfy a large deviation principle with some good rate function, so do the solution processes. There is no joint exponential tightness assumption for noise-control-solution triplets and no uniform exponential tightness assumption for noise.
Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)
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