Document Type
Article
Publication Date
7-1-2018
Abstract
The paper concerns itself with establishing large deviation principles for a sequence of stochastic integrals and stochastic differential equations driven by general semimartingales in infinite-dimensional settings. The class of semimartingales considered is broad enough to cover Banach space-valued semimartingales and the martingale random measures. Simple usable expressions for the associated rate functions are given in this abstract setup. As illustrated through several concrete examples, the results presented here provide a new systematic approach to the study of large deviation principles for a sequence of Markov processes.
Publication Source (Journal or Book title)
Stochastic Processes and their Applications
First Page
2179
Last Page
2227
Recommended Citation
Ganguly, A. (2018). Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales. Stochastic Processes and their Applications, 128 (7), 2179-2227. https://doi.org/10.1016/j.spa.2017.09.011