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Teoriya Veroyatnostei i ee Primeneniya, 2024, Volume 69, Issue 3, Pages 578–610
DOI: https://doi.org/10.4213/tvp5549 (Mi tvp5549) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Large deviations for stochastic differential equations driven by semimartingales

Q. Huangab , W. Weic, J. Duand

a Group of Mathematical Physics (GFMUL), Department of Mathematics, Faculty of Sciences, University of Lisbon, Lisboa, Portugal
b Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore
c Institute of Natural Sciences, Shanghai Jiao Tong University, Shanghai, P. R. China
d Department of Mathematics and Department of Physics, Great Bay University, Dongguan, Guangdong, P. R. China
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DOI: https://doi.org/10.4213/tvp5549
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.
Keywords: large deviations, stochastic differential equations, semimartingales, uniform exponential tightness, exponential tightness.
Funding agency Grant number
National Natural Science Foundation of China 1620449
Fundação para a Ciência e a Tecnologia PTDC/MAT-STA/28812/2017
The research of J. Duan was partly supported by the NSF grant 1620449. The research of Q. Huang was partly supported by FCT, Portugal, project PTDC/MAT-STA/28812/2017.
Received: 28.01.2022
Revised: 18.04.2022
Published: 23.07.2024
English version:
Theory of Probability and its Applications, 2024, Volume 69, Issue 3, Pages 460–487
DOI: https://doi.org/10.1137/S0040585X97T992045
Bibliographic databases:
Document Type: Article
Language: English
Citation: Q. Huang, W. Wei, J. Duan, “Large deviations for stochastic differential equations driven by semimartingales”, Teor. Veroyatnost. i Primenen., 69:3 (2024), 578–610; Theory Probab. Appl., 69:3 (2024), 460–487
Citation in format AMSBIB
\Bibitem{HuaWeiDua24}
\by Q.~Huang, W.~Wei, J.~Duan
\paper Large deviations for stochastic differential equations driven by semimartingales
\jour Teor. Veroyatnost. i Primenen.
\yr 2024
\vol 69
\issue 3
\pages 578--610
\mathnet{http://mi.mathnet.ru/tvp5549}
\crossref{https://doi.org/10.4213/tvp5549}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=4914717}
\transl
\jour Theory Probab. Appl.
\yr 2024
\vol 69
\issue 3
\pages 460--487
\crossref{https://doi.org/10.1137/S0040585X97T992045}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85208991715}
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  • https://doi.org/10.4213/tvp5549
  • https://www.mathnet.ru/eng/tvp/v69/i3/p578
    • This publication is cited in the following 1 articles:
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