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Stochastics and Stochastic Reports Volume 61, 1997 - Issue 3-4
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Original Articles

Large deviations of semimartingales: A maxingale problem approach i. limits as solutions to a maxingale problem

A. Puhalskii Institute for Problems in Information Transmission, 19, Bolshoi Karetnii, Moscow, 101447, Russia
Pages 141-243 | Published online: 04 Apr 2007

Citations (16)

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Read on this site (3)

V.N. Kolokol'tsov & A.E. Tyukov. (2003) Small time and semiclassical asymptotics for stochastic heat equations driven by Lévy noise. Stochastics and Stochastic Reports 75:1-2, pages 1-45.
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Hacène Djellout. (2002) Moderate deviations for martingale differences and applications to φ -mixing sequences. Stochastics and Stochastic Reports 73:1-2, pages 37-64.
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Anatolii A. Puhalskii. (1999) Large Deviations Of Semimartingales: A Maxingale Problem Approach.II. Uniqueness For The Maxingale Problem. Applications. Stochastics and Stochastic Reports 68:1-2, pages 65-143.
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Articles from other publishers (13)

Qing Yin, Yu Miao, Zhen Wang & Guangyu Yang. (2023) Moderate deviation principle of modularity in network. Metrika.
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S. Valère Bitseki Penda & Gorgui Gackou. (2022) Moderate deviation principles for bifurcating Markov chains: case of functions dependent of one variable. Latin American Journal of Probability and Mathematical Statistics 19:1, pages 617.
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Richard C. Kraaij. (2020) The exponential resolvent of a Markov process and large deviations for Markov processes via Hamilton-Jacobi equations. Electronic Journal of Probability 25:none.
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David R. Bickel & Alexandre G. Patriota. (2019) Self-consistent confidence sets and tests of composite hypotheses applicable to restricted parameters. Bernoulli 25:1.
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Anatolii A. Puhalskii. (2016) On large deviations of coupled diffusions with time scale separation. The Annals of Probability 44:4.
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S. Valère Bitseki Penda & Hacène Djellout. (2014) Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 50:3.
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Wendell H. Fleming. (2004) Max-plus stochastic processes. Applied Mathematics & Optimization 49:2, pages 159-181.
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Anatolii Puhalskii. (2004) On Some Degenerate Large Deviation Problems. Electronic Journal of Probability 9:none.
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V.N. Kolokol'tsov. (2001) Idempotent Measures and their Applications. IFAC Proceedings Volumes 34:13, pages 755-758.
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Vassili Kolokoltsov. (2001) Small Diffusion and Fast Dying Out Asymptotics for Superprocesses as Non-Hamiltonian Quasiclassics for Evolution Equations. Electronic Journal of Probability 6:none.
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Jin Feng. (1999) Martingale problems for large deviations of Markov processes. Stochastic Processes and their Applications 81:2, pages 165-216.
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Julien Worms. (1999) Moderate deviations for stable Markov chains and regression models. Electronic Journal of Probability 4:none.
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Julien Worms. (1999) Principes de déviations modérées pour des modèles autorégressifs d'ordre p. Comptes Rendus de l'Académie des Sciences - Series I - Mathematics 328:1, pages 67-72.
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