A moderate deviation principle for stochastic Volterra equation

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• 作者：Yumeng Li^a ; ^{liyumeng@mail.ustc.edu.cn} ; Ran Wang^b ; ^{wangran@ustc.edu.cn} ; Nian Yao^c ; ^{yaonian@szu.edu.cn} ; Shuguang Zhang^d ; ^{sgzhang@ustc.edu.cn}
• 关键词：primary ; 60H15 ; secondary ; 60F05 ; 60F10
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：122
• 期：Complete
• 页码：79-85
• 全文大小：406 K
• 卷排序：122

文摘

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.