LARGE DEVIATION PRINCIPLE FOR SOLUTIONS TO SDE DRIVEN BY MARTINGALE MEASURE
نویسندگان
چکیده
منابع مشابه
A large deviation principle for the Yang-Mills measure
We prove the first mathematical result relating the Yang-Mills measure on a compact surface and the Yang-Mills energy. We show that, at the small volume limit, the scaled Yang-Mills measures satisfy a large deviation principle with the Yang-Mills energy as rate function. This gives some rigorous content to the informal description of the Yang-Mills measure as the Gibbs measure of the Yang-Mills...
متن کاملLarge deviation principle for stochastic integrals and stochastic differential equations driven by infinite dimensional semimartingales
Let H be a separable Banach space. We considered the sequence of stochastic integrals {Xn− · Yn} where {Yn} is a sequence of infinite dimesnional H semimartingales and Xn are H valued cadlag processes. Assuming that {(Xn, Yn)} satisfies large deviation principle, a uniform exponential tightness condition is described under which large deviation principle holds for {(Xn, Yn, Xn− · Yn)}. When H i...
متن کاملA large deviation principle for Dirichlet posteriors
Let Xk be a sequence of independent and identically distributed random variables taking values in a compact metric space Ω, and consider the problem of estimating the law of X1 in a Bayesian framework. A conjugate family of priors for non-parametric Bayesian inference is the Dirichlet process priors popularized by Ferguson. We prove that if the prior distribution is Dirichlet, then the sequence...
متن کاملLarge deviation principle for enhanced Gaussian processes
We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N . We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hölderor modulus topology, appears as special case. © 2007 Elsevier Masson SAS. All rights reserved. Résumé Nous etudions les princ...
متن کاملA large deviation principle for Dirichlet posteriorsA
Let X k be a sequence of independent and identically distributed random variables taking values in a compact metric space , and consider the problem of estimating the law of X 1 in a Bayesian framework. A conjugate family of priors for non-parametric Bayesian inference is the Dirichlet process priors popularized by Ferguson. We prove that if the prior distribution is Dirichlet, then the sequenc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Communications of the Korean Mathematical Society
سال: 2006
ISSN: 1225-1763
DOI: 10.4134/ckms.2006.21.3.543