The method of stochastic exponentials for large deviations

A. Puhalskii

Stochastic Processes and their Applications, 1994, vol. 54, issue 1, 45-70

Abstract: We present a method for proving the large-deviation principle for processes with paths in the Skorohod space which is analogous to the method of stochastic exponentials in weak convergence. It is applied to derive new results on large deviations for semimartingales as well as for processes with independent increments.

Keywords: Large; deviations; Exponential; tightness; Semimartingales; Cramer; condition (search for similar items in EconPapers)
Date: 1994
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