IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v122y2017icp79-85.html
   My bibliography  Save this article

A moderate deviation principle for stochastic Volterra equation

Author

Listed:
  • Li, Yumeng
  • Wang, Ran
  • Yao, Nian
  • Zhang, Shuguang

Abstract

In this paper, we establish a moderate deviation principle for stochastic Volterra equation by using the weak convergence approach. A maximal inequality for stochastic integral plays an important role. As an application, we give an interesting example: a stochastic differential equation driven by fractional Brownian motion.

Suggested Citation

  • Li, Yumeng & Wang, Ran & Yao, Nian & Zhang, Shuguang, 2017. "A moderate deviation principle for stochastic Volterra equation," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 79-85.
    • Handle: RePEc:eee:stapro:v:122:y:2017:i:c:p:79-85
    DOI: 10.1016/j.spl.2016.10.033
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715216302413
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2016.10.033?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Peter Hall & Michael G. Schimek, 2012. "Moderate-Deviation-Based Inference for Random Degeneration in Paired Rank Lists," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 661-672, June.
    2. Klebaner, F. C. & Liptser, R., 1999. "Moderate deviations for randomly perturbed dynamical systems," Stochastic Processes and their Applications, Elsevier, vol. 80(2), pages 157-176, April.
    3. Cai, Yujie & Wang, Shaochen, 2015. "Central limit theorem and moderate deviation principle for CKLS model with small random perturbation," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 6-11.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Liu, Shouqiang & Yu, Mengjing & Li, Miao & Xu, Qingzhen, 2019. "The research of virtual face based on Deep Convolutional Generative Adversarial Networks using TensorFlow," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 667-680.
    2. Stefan Gerhold & Christoph Gerstenecker & Archil Gulisashvili, 2020. "Large deviations for fractional volatility models with non-Gaussian volatility driver," Papers 2003.12825, arXiv.org.
    3. Antoine Jacquier & Alexandre Pannier, 2020. "Large and moderate deviations for stochastic Volterra systems," Papers 2004.10571, arXiv.org, revised Apr 2022.
    4. Gerhold, Stefan & Gerstenecker, Christoph & Gulisashvili, Archil, 2021. "Large deviations for fractional volatility models with non-Gaussian volatility driver," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 580-600.
    5. Jacquier, Antoine & Pannier, Alexandre, 2022. "Large and moderate deviations for stochastic Volterra systems," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 142-187.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Antonella Plaia & Simona Buscemi & Johannes Fürnkranz & Eneldo Loza Mencía, 2022. "Comparing Boosting and Bagging for Decision Trees of Rankings," Journal of Classification, Springer;The Classification Society, vol. 39(1), pages 78-99, March.
    2. Donald Margaret R. & Wilson Susan R., 2017. "Comparison and visualisation of agreement for paired lists of rankings," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 16(1), pages 31-45, March.
    3. Švendová, Vendula & Schimek, Michael G., 2017. "A novel method for estimating the common signals for consensus across multiple ranked lists," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 122-135.
    4. Schimek Michael G. & Budinská Eva & Kugler Karl G. & Švendová Vendula & Ding Jie & Lin Shili, 2015. "TopKLists: a comprehensive R package for statistical inference, stochastic aggregation, and visualization of multiple omics ranked lists," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 14(3), pages 311-316, June.
    5. Williams, Noah, 2004. "Small noise asymptotics for a stochastic growth model," Journal of Economic Theory, Elsevier, vol. 119(2), pages 271-298, December.
    6. Ryo Okui, 2021. "A moment inequality approach to statistical inference for rankings," The Japanese Economic Review, Springer, vol. 72(2), pages 169-184, April.
    7. Antonio D’Ambrosio & Carmela Iorio & Michele Staiano & Roberta Siciliano, 2019. "Median constrained bucket order rank aggregation," Computational Statistics, Springer, vol. 34(2), pages 787-802, June.
    8. Solesne Bourguin & Thanh Dang & Konstantinos Spiliopoulos, 2023. "Moderate Deviation Principle for Multiscale Systems Driven by Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-57, March.
    9. Arboretti, Rosa & Bonnini, Stefano & Corain, Livio & Salmaso, Luigi, 2014. "A permutation approach for ranking of multivariate populations," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 39-57.
    10. Giuseppe Jurman & Samantha Riccadonna & Roberto Visintainer & Cesare Furlanello, 2012. "Algebraic Comparison of Partial Lists in Bioinformatics," PLOS ONE, Public Library of Science, vol. 7(5), pages 1-20, May.
    11. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:122:y:2017:i:c:p:79-85. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.