Limit theorems on large deviations for semimartingales

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dc.creatorLiptser, Robert Sh.
dc.creatorPukhalskii, Anatolii A.
dc.date2005-10-03
dc.date.accessioned2026-07-07T06:20:35Z
dc.date.available2026-07-07T06:20:35Z
dc.descriptionWe consider a sequence $X^n=(X^n_t)_{t\ge 0},n\ge 1$ of semimartingales. Each $X^n$ is a weak solution to an Itô equation with respect to a Wiener process and a Poissonian martingale measure and is in general non-Markovian process. For this sequence, we prove the large deviation principle in the Skorokhod space $D=D_{[0,\infty)}$. We use a new approach based on of exponential tightness. This allows us to establish the large deviation principle under weaker assumptions than before.
dc.identifierhttps://arxiv.org/abs/math/0510028
dc.identifierhttp://arxiv.org/abs/math/0510028
dc.identifierStochastics and Stochastic Reports. Vol 38, 1992, pp. 201--249
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/95358
dc.subjectProbability
dc.subject60F10
dc.titleLimit theorems on large deviations for semimartingales
dc.typetext

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