Large deviation principle for a mixed fractional and jump diffusion process

We study the asymptotic behavior of a solution of a mixed differential equation driven by independent fractional Brownian motion with Hurst index and compensated Poisson process. This study consists in determining the uniform Freidlin–Wentzell estimates in a temporal distribution space.

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Bibliographic Details
Published inRandom operators and stochastic equations Vol. 30; no. 4; pp. 241 - 249
Main Authors Diatta, Raphaël, Manga, Clément, Diédhiou, Alassane
Format Journal Article
LanguageEnglish
Published Berlin De Gruyter 01.12.2022
Walter de Gruyter GmbH
Subjects
60F10
60G22
60H20
60H40
Asymptotic properties
Brownian motion
contraction principle
Differential equations
Fractional Brownian motion
large deviation principle
mixed stochastic differential equation
Poisson process
stochastic differential equation
Temporal distribution
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Summary:We study the asymptotic behavior of a solution of a mixed differential equation driven by independent fractional Brownian motion with Hurst index and compensated Poisson process. This study consists in determining the uniform Freidlin–Wentzell estimates in a temporal distribution space.
ISSN:0926-6364
1569-397X
DOI:10.1515/rose-2022-2083