Large Deviations for SDE driven by Heavy-tailed L\'evy Processes
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Publication:6358010
arXiv2101.03856MaRDI QIDQ6358010FDOQ6358010
Authors: Wei Wei, Qiao Huang, Jinqiao Duan 
Publication date: 11 January 2021
Abstract: We obtain sample-path large deviations for a class of one-dimensional stochastic differential equations with bounded drifts and heavy-tailed L'evy processes. These heavy-tailed L'evy processes do not satisfy the exponential integrability condition, which is a common restriction on the L'evy processes in existing large deviations contents. We further prove that the solution processes satisfy a weak large deviation principle with a discrete rate function and logarithmic speed. We also show that they do not satisfy the full large deviation principle.
Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Jump processes on general state spaces (60J76)
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