Moderate deviation principles for stochastic differential equations with jumps

Authors
Budhiraja, Amarjit Dupuis, Paul Ganguly, Arnab
Citation
Budhiraja, Amarjit et al., Moderate deviation principles for stochastic differential equations with jumps, Annals of probability , 44(3), 2016, pp. 1723-1775
Journal title
Annals of probability → ACNP
ISSN journal
00911798
Volume
44
Issue
3
Year of publication
2016
Pages
1723 - 1775
Database
ACNP
SICI code
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.