A large deviation principle for stochastic integrals

DOI10.1007/s10959-007-0136-4zbMath1139.60312OpenAlexW2035537799MaRDI QIDQ927258

Jorge Garcia

Publication date: 4 June 2008

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-007-0136-4

zbMATH Keywords

SDELarge deviationsAlmost compactnessExponential tightnessStochastic integralsUniform controlled variationsUniform exponential tightness

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Stochastic integrals (60H05)

Related Items

Pathwise large deviations for white noise chaos expansions, Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales, A partial rough path space for rough volatility, Pathwise large deviations for the rough Bergomi model, Asymptotic behaviour of randomised fractional volatility models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Large deviations for vector-valued Lévy processes
• Stratonovich stochastic differential equations driven by general semimartingales
• An extension of the contraction principle
• Sequences of capacities, with connections to large-deviation theory
• Limit theorems on large deviations for semimartingales