Moderate deviation principles for stochastic differential equations with jumps

DOI10.1214/15-AOP1007zbMATH Open1346.60026arXiv1401.7316OpenAlexW2964257724MaRDI QIDQ726792FDOQ726792

Authors: Amarjit Budhiraja, Paul Dupuis, Arnab Ganguly 

Publication date: 14 July 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Moderate deviation principles for stochastic differential equations driven by a Poisson random measure (PRM) in finite and infinite dimensions are obtained. Proofs are based on a variational representation for expected values of positive functionals of a PRM.

Full work available at URL: https://arxiv.org/abs/1401.7316

Recommendations

• Moderate deviations for mean-field stochastic differential equations with jumps
• An extension to moderate deviations for stochastic differential equations with Poisson jumps and applications
• Moderate deviations for neutral stochastic differential delay equations with jumps
• Moderate deviation principle for a class of stochastic partial differential equations
• Large deviations of mean-field stochastic differential equations with jumps

zbMATH Keywords

stochastic partial differential equationslarge deviationsmoderate deviationsstochastic differential equationsPoisson random measure

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuous-time Markov processes on general state spaces (60J25) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Title not available (Why is that?)
• Monte Carlo strategies in scientific computing
• Stochastic simulation: Algorithms and analysis
• Averaging principle of SDE with small diffusion: Moderate deviations
• A variational representation for positive functionals of infinite dimensional Brownian motion
• Title not available (Why is that?)
• Title not available (Why is that?)
• ON SMALL RANDOM PERTURBATIONS OF DYNAMICAL SYSTEMS
• Title not available (Why is that?)
• Title not available (Why is that?)
• Large deviations for infinite dimensional stochastic dynamical systems
• Title not available (Why is that?)
• Stochastic Partial Differential Equations with Levy Noise
• Stochastic evolution equations of jump type: Existence, uniqueness and large deviation princi\-ples
• Limit theorems on large deviations for semimartingales
• On moderate deviations for martingales
• On probabilities of moderate deviations
• Moderate deviations of dependent random variables related to CLT
• An asymptotic expansion for probabilities of moderate deviations for multivariate martingales
• Title not available (Why is that?)
• Sur les déviations modérées des sommes de variables aléatoires vectorielles indépendantes de même loi. (On moderate deviations of sums of independent and identically distributed vector valued random variables)
• Moderate Deviations and Associated Laplace Approximations for Sums of Independent Random Vectors
• Title not available (Why is that?)
• Variational representations for continuous time processes
• Large deviations for stochastic PDE with Lévy noise
• Large deviations for stochastic partial differential equations driven by a Poisson random measure
• Moderate deviations for martingales with bounded jumps
• Moderate deviations for martingale differences and applications to φ -mixing sequences
• Large and moderate deviations for estimators of quadratic variational processes of diffusions.
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
• Moderate deviations for squared radial Ornstein-Uhlenbeck process
• Moderate deviations for \(m\)-dependent random variables with Banach space values
• Title not available (Why is that?)
• Uniform large and moderate deviations for functional empirical processes
• Large and moderate deviations for the local time of a recurrent Markov chain on \(\mathbb{Z}^2\)
• Moderate deviations for diffusions with Brownian potentials
• Nonuniform central limit bounds with applications to probabilities of deviations
• Moderate deviations for empirical measures of Markov chains: Upper bounds
• Moderate deviations for empirical measures of Markov chains: Lower bounds
• Probabilities of moderate deviations for some stationary \(\varphi\)-mixing processes
• Moderate deviations type evaluation for integral functionals of diffusion processes
• The functional moderate deviations for Harris recurrent Markov chains and applications.
• Moderate deviations of inhomogeneous functionals of Markov processes and application to averaging.
• Moderate deviations for Markovian occupation times.
• Moderate deviations for martingales and mixing random processes
• Uniform moderate deviations of functional empirical processes of Markov chains
• Title not available (Why is that?)
• Title not available (Why is that?)
• Probabilities of Moderate Deviations in a Banach Space
• Title not available (Why is that?)
• Probabilities of moderate deviations under m‐dependence
• Title not available (Why is that?)
• Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps

Cited In (55)

• Large deviation principle for the mean reflected stochastic differential equation with jumps
• Moderate deviations and central limit theorem for positive diffusions
• Large deviations for multi-scale regime-switching jump diffusion systems
• Exponential inequalities for exit times for two dimensional stochastic tidal dynamics equations
• Moderate deviations for neutral stochastic differential delay equations with jumps
• Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
• Large Deviations for the Single-Server Queue and the Reneging Paradox
• Central limit theorem and moderate deviations for a perturbed stochastic Cahn–Hilliard equation
• Well-posedness and large deviations for 2D stochastic Navier-Stokes equations with jumps
• Moderate deviation principle for stochastic reaction-diffusion systems with multiplicative noise and non-Lipschitz reaction
• Large deviations for invariant measures of stochastic differential equations with jumps
• Large deviation principles of 2D stochastic Navier–Stokes equations with Lévy noises
• The local principle of large deviations for compound Poisson process with catastrophes
• Moderate deviations for a stochastic wave equation in dimension three
• Moderate deviations for stochastic models of two-dimensional second-grade fluids driven by Lévy noise
• Many-server asymptotics for join-the-shortest-queue: large deviations and rare events
• Moderate deviations for the Langevin equation with strong damping
• Moderate deviations for a fractional stochastic heat equation with spatially correlated noise
• Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales
• Local large deviation principle for Wiener process with random resetting
• Large and moderate deviation principles for path-distribution-dependent stochastic differential equations
• Title not available (Why is that?)
• Some asymptotic results for nonlinear Hawkes processes
• Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps
• Moderate deviations for stochastic tidal dynamics equations with multiplicative Gaussian noise
• The first exit problem of reaction-diffusion equations for small multiplicative L\'evy noise
• An extension to moderate deviations for stochastic differential equations with Poisson jumps and applications
• Central limit theorems and moderate deviations for stochastic reaction-diffusion lattice systems
• Moderate deviation principle for multivalued stochastic differential equations
• Moderate deviations for a stochastic Burgers equation
• Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations
• Moderate deviation principles for weakly interacting particle systems
• Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions
• Moderate deviations for stochastic fractional heat equation driven by fractional noise
• Moderate deviations for stochastic models of two-dimensional second grade fluids
• Large deviations for empirical measures of switching diffusion processes with small parameters
• Rare event asymptotics for exploration processes for random graphs
• Moderate deviations for stochastic Cahn-Hilliard equations with a random dynamical boundary driven by Poisson random measures
• Moderate deviation principle for the two-dimensional stochastic Navier-Stokes equations with anisotropic viscosity
• Moderate deviations for a stochastic heat equation with spatially correlated noise
• A moderate deviation principle for stochastic Volterra equation
• Large deviations for small noise diffusions in a fast Markovian environment
• A moderate deviation principle for 2-D stochastic Navier-Stokes equations driven by multiplicative Lévy noises
• Moderate deviations for neutral functional stochastic differential equations driven by Lévy noises
• Asymptotics of stochastic 2D hydrodynamical type systems in unbounded domains
• Large and moderate deviation principles for McKean-Vlasov SDEs with jumps
• Wave-breaking and moderate deviations of the stochastic Camassa-Holm equation with pure jump noise
• Moderate deviation and central limit theorem for stochastic differential delay equations with polynomial growth
• Optimal total variation bounds for stochastic differential delay equations with small noises
• Large and moderate deviations for stochastic Volterra systems
• Moderate deviations for two-time scale systems with mixed fractional Brownian motion
• Moderate deviations for rough differential equations
• Sample path moderate deviations for shot noise processes in the high intensity regime
• Functional large deviations for Kac-Stroock approximation to a class of Gaussian processes with application to small noise diffusions
• Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime

This page was built for publication: Moderate deviation principles for stochastic differential equations with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q726792)