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arXiv:1401.7316 [math.PR]AbstractReferencesReviewsResources

Moderate Deviation Principles for Stochastic Differential Equations with Jumps

Amarjit Budhiraja, Paul Dupuis, Arnab Ganguly

Published 2014-01-28Version 1

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.

Comments: 53 pages. arXiv admin note: text overlap with arXiv:1211.0466 by other authors
Categories: math.PR
Subjects: 60F10, 60H15, 60J75, 60J25
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