Large deviations of mean-field stochastic differential equations with jumps

Yujie Cai, Jianhui Huang and Vasileios Maroulas

Statistics & Probability Letters, 2015, vol. 96, issue C, 1-9

Abstract: The mean-field stochastic differential equation (MFSDE) has found various applications in science and engineering. Here, we investigate a class of MFSDE with jumps, governed by a finite dimensional Brownian motion and a Poisson random measure. We study large deviation estimates of its path solution and our approach for verifying the large deviation principle is based on the weak convergence arguments.

Keywords: Mean-field stochastic differential equation; Poisson random measure; Jump-diffusions; Weak convergence method; Uniform large deviation principle (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.08.010

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