A moderate deviation principle for stochastic Volterra equation

Article ID	Journal	Published Year	Pages	File Type
5129877	Statistics & Probability Letters	2017	7 Pages	PDF

Abstract

In this paper, we establish a moderate deviation principle for stochastic Volterra equation by using the weak convergence approach. A maximal inequality for stochastic integral plays an important role. As an application, we give an interesting example: a stochastic differential equation driven by fractional Brownian motion.

Keywords

60F10 60F05 60H15 Weak convergence method Moderate deviation principle primary secondary

Related Topics

Physical Sciences and Engineering Mathematics Statistics and Probability

Preview

A moderate deviation principle for stochastic Volterra equation

Authors

Yumeng Li, Ran Wang, Nian Yao, Shuguang Zhang,