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Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space

Author

Listed:
  • Djehiche, Boualem
  • Eddahbi, M'hamed

Abstract

In this paper, we investigate the regularity of the solutions of a class of two-parameter Stochastic Volterra-type equations in the anisotropic Besov-Orlicz space modulated by the Young function [tau](t)=exp(t2)-1 and the modulus of continuity [omega](t)=(t(1+log(1/t)))1/2. Moreover, we derive in the Besov-Orlicz norm a large deviation estimate of Freidlin-Wentzell type for the solution.

Suggested Citation

  • Djehiche, Boualem & Eddahbi, M'hamed, 1999. "Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space," Stochastic Processes and their Applications, Elsevier, vol. 81(1), pages 39-72, May.
    • Handle: RePEc:eee:spapps:v:81:y:1999:i:1:p:39-72
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    Cited by:

    1. Deya, Aurélien & Tindel, Samy, 2011. "Rough Volterra equations 2: Convolutional generalized integrals," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1864-1899, August.

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