Moderate Deviation Principles for Stochastic Differential Equations with Jumps

By A. Budhiraja, Paul Dupuis, Arnab Ganguly. 2014

74 citations recorded by the source corpus.

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.

Subfields: Computational Theory and Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/dc41903002d5483ba911daa26b7647bf5979e3d6

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In Computational Theory and Mathematics

1. Jianliang Zhai
2. Tusheng Zhang

In Finance

1. Jianliang Zhai
2. Tusheng Zhang
3. Wei Liu
4. Yulin Song
5. Xicheng Zhang
6. Peter K. Friz
7. Wei Liu
8. Nicolas Victoir

In Mathematical Physics

1. Jianliang Zhai
2. Tusheng Zhang
3. Peter K. Friz
4. Nicolas Victoir

Citations in the corpus

• Large and Moderate Deviation Principles for McKean-Vlasov SDEs with Jumps (2020, methodology): “The reader is referred to [4, 6, 7, 8, 9, 10, 11, 14, 16, 17, 18, 44, 51, 55, 56, 57] and the references therein.”