Accession Number:

ADA616930

Title:

Moderate Deviation Principles for Stochastic Differential Equations with Jumps

Descriptive Note:

Technical rept.

Corporate Author:

BROWN UNIV PROVIDENCE RI

Personal Author(s):

• Budhiraja, Amarjit
• Dupuis, Paul
• Ganguly, Arnab

Report Date:

2014-01-15

Pagination or Media Count:

55.0

Abstract:

Moderate deviation principles for stochastic differential equations driven by a Poisson random measure PRM in finite and infinite dimensions are obtained. Proofs are based on a variational representation for expected values of positive functionals of a PRM.

Descriptors:

• *PARTIAL DIFFERENTIAL EQUATIONS
• *STOCHASTIC PROCESSES
• BROWNIAN MOTION
• COEFFICIENTS
• FLUID DYNAMICS
• GAUSSIAN NOISE
• MARKOV PROCESSES
• MATHEMATICAL MODELS
• POISSON DENSITY FUNCTIONS
• PROBABILITY
• RANDOM VARIABLES
• STATISTICAL ANALYSIS

Subject Categories:

• Numerical Mathematics
• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE