具有跳跃的中性功能SDEs的大偏差

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-01-02 DOI:10.1080/17442508.2014.914516

J. Bao, C. Yuan

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引用次数: 44

摘要

本文利用弱收敛方法，基于泊松随机测度和布朗运动的正泛函的变分表示，建立了一类由跳跃过程驱动的中立型随机微分方程的一致大偏差原理。作为一个副产品，我们也得到了中立型随机微分延迟方程的一致LDPs，特别是允许系数相对于延迟参数是高度非线性的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Large deviations for neutral functional SDEs with jumps

In this paper, by the weak convergence method, based on a variational representation for positive functionals of a Poisson random measure and Brownian motion, we establish uniform large deviation principles (LDPs) for a class of neutral stochastic differential equations driven by jump processes. As a byproduct, we also obtain uniform LDPs for neutral stochastic differential delay equations which, in particular, allow the coefficients to be highly nonlinear with respect to the delay argument.

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.