Large deviations of mean-field stochastic differential equations with jumps

Yujie Cai; Jianhui Huang; Vasileios Maroulas

doi:10.1016/j.spl.2014.08.010

Large deviations of mean-field stochastic differential equations with jumps

Yujie Cai, Jianhui Huang, Vasileios Maroulas

Research output: Journal article publication › Journal article › Academic research › peer-review

11 Citations (Scopus)

Abstract

The mean-field stochastic differential equation (MFSDE) has found various applications in science and engineering. Here, we investigate a class of MFSDE with jumps, governed by a finite dimensional Brownian motion and a Poisson random measure. We study large deviation estimates of its path solution and our approach for verifying the large deviation principle is based on the weak convergence arguments.

Original language	English
Pages (from-to)	1-9
Number of pages	9
Journal	Statistics and Probability Letters
Volume	96
DOIs	https://doi.org/10.1016/j.spl.2014.08.010
Publication status	Published - 1 Jan 2015

Keywords

Jump-diffusions
Mean-field stochastic differential equation
Poisson random measure
Uniform large deviation principle
Weak convergence method

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2014.08.010

Cite this

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AB - The mean-field stochastic differential equation (MFSDE) has found various applications in science and engineering. Here, we investigate a class of MFSDE with jumps, governed by a finite dimensional Brownian motion and a Poisson random measure. We study large deviation estimates of its path solution and our approach for verifying the large deviation principle is based on the weak convergence arguments.

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KW - Poisson random measure

KW - Uniform large deviation principle

KW - Weak convergence method

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DO - 10.1016/j.spl.2014.08.010

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ER -

Large deviations of mean-field stochastic differential equations with jumps

Abstract

Keywords

ASJC Scopus subject areas

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