Large deviations of mean-field stochastic differential equations with jumps

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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Year of publication:	2015
Authors:	Cai, Yujie ; Huang, Jianhui ; Maroulas, Vasileios
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 96.2015, C, p. 1-9
Publisher:	Elsevier
Subject:	Mean-field stochastic differential equation \| Poisson random measure \| Jump-diffusions \| Weak convergence method \| Uniform large deviation principle

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011115973