Kai Liu and Tusheng Zhang. A Large Deviation Principle of Retarded Ornstein-uhlenbeck Processes Driven by Levy Noise
Natural Sciences / Mathematics / Probability
Submitted on: Aug 31, 2012, 00:55:03
Description: In this paper, we develop a large deviation principle (LDP) for a class of retarded Ornstein-Uhlenbeck processes driven by Levy processes. We first present a LDP result for time delay systems driven by cylindrical Wiener processes based on the large deviations of Gaussian processes. By using a contraction technique and passing on a finite dimensional approximation, a large deviation principle is obtained for stochastic time delay evolution equations driven by additive Levy noise, whose solutions are generally not Levy processes any more.