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Moderate deviations for neutral stochastic differential delay equations with jumps

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  • Ma, Xiaocui
  • Xi, Fubao

Abstract

A moderate deviation principle for neutral stochastic differential delay equations driven by Poisson random measure is established. The weak convergence method introduced by Budhiraja et al. (2016) plays a key role.

Suggested Citation

  • Ma, Xiaocui & Xi, Fubao, 2017. "Moderate deviations for neutral stochastic differential delay equations with jumps," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 97-107.
    • Handle: RePEc:eee:stapro:v:126:y:2017:i:c:p:97-107
    DOI: 10.1016/j.spl.2017.02.034
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    References listed on IDEAS

    as
    1. Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 1999. "Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 117-152, April.
    2. Budhiraja, Amarjit & Chen, Jiang & Dupuis, Paul, 2013. "Large deviations for stochastic partial differential equations driven by a Poisson random measure," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 523-560.
    3. Gao, Fu-Qing, 1996. "Moderate deviations for martingales and mixing random processes," Stochastic Processes and their Applications, Elsevier, vol. 61(2), pages 263-275, February.
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