Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7550091 | Stochastic Processes and their Applications | 2018 | 48 Pages |
Abstract
The paper concerns itself with establishing large deviation principles for a sequence of stochastic integrals and stochastic differential equations driven by general semimartingales in infinite-dimensional settings. The class of semimartingales considered is broad enough to cover Banach space-valued semimartingales and the martingale random measures. Simple usable expressions for the associated rate functions are given in this abstract setup. As illustrated through several concrete examples, the results presented here provide a new systematic approach to the study of large deviation principles for a sequence of Markov processes.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Arnab Ganguly,