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arXiv · 1401.7316

Moderate Deviation Principles for Stochastic Differential Equations with Jumps

Amarjit Budhiraja·Paul Dupuis·Arnab Ganguly
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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.

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Amarjit Budhiraja, Paul Dupuis, Arnab Ganguly. 2014-01-28. Moderate Deviation Principles for Stochastic Differential Equations with Jumps. https://arxiv.org/abs/1401.7316

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