具有跳跃的中性功能SDEs的大偏差

Pub Date : 2015-01-02 DOI:10.1080/17442508.2014.914516
J. Bao, C. Yuan
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引用次数: 44

摘要

本文利用弱收敛方法,基于泊松随机测度和布朗运动的正泛函的变分表示,建立了一类由跳跃过程驱动的中立型随机微分方程的一致大偏差原理。作为一个副产品,我们也得到了中立型随机微分延迟方程的一致LDPs,特别是允许系数相对于延迟参数是高度非线性的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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Large deviations for neutral functional SDEs with jumps
In this paper, by the weak convergence method, based on a variational representation for positive functionals of a Poisson random measure and Brownian motion, we establish uniform large deviation principles (LDPs) for a class of neutral stochastic differential equations driven by jump processes. As a byproduct, we also obtain uniform LDPs for neutral stochastic differential delay equations which, in particular, allow the coefficients to be highly nonlinear with respect to the delay argument.
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