A moderate deviation principle for stochastic Volterra equation

作者：Li, Yumeng; Wang, Ran; Yao, Nian^*; Zhang, Shuguang

来源：Statistics & Probability Letters, 2017, 122: 79-85.

DOI：10.1016/j.spl.2016.10.033

• Stochastic Volterra equations
• Moderate deviation principle
• Weak convergence method

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.

• 出版日期2017-3
• 单位深圳大学; 中南财经政法大学; 武汉大学; 中国科学技术大学