The method of stochastic exponentials for large deviations
A method for proving the large deviation principle for processes with paths in the Skorokhod space is presented. This method is analogous to the method of stochastic exponentials in weak convergence. It is applied to derive new results on large deviations for semimartingales as well as for processes with independent increments.
stochastic exponentials in weak convergence
scientific article; zbMATH DE number 713916
scientific article