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Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales

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  • Ganguly, Arnab

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.

Suggested Citation

  • Ganguly, Arnab, 2018. "Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 128(7), pages 2179-2227.
    • Handle: RePEc:eee:spapps:v:128:y:2018:i:7:p:2179-2227
    DOI: 10.1016/j.spa.2017.09.011
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    References listed on IDEAS

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    1. Sritharan, S.S. & Sundar, P., 2006. "Large deviations for the two-dimensional Navier-Stokes equations with multiplicative noise," Stochastic Processes and their Applications, Elsevier, vol. 116(11), pages 1636-1659, November.
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