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arXiv · 1910.05720

Large Deviations for Stochastic Differential Equations Driven by Semimartingales

Qiao Huang·Wei Wei·Jinqiao Duan
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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.

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Qiao Huang, Wei Wei, Jinqiao Duan. 2019-10-13. Large Deviations for Stochastic Differential Equations Driven by Semimartingales. https://doi.org/10.4213/tvp5549

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