Exponential tightness of a family of Skorohod integrals

被引：0
|
作者：
Nguyen, Nhu N. [1 ]
机构：
[1] Univ Connecticut, Dept Math, Storrs, CT 06269 USA
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2022年 / 27卷
基金：
美国国家科学基金会;
关键词：
exponential tightness; Malliavin calculus; anticipating integrals; LARGE DEVIATIONS;
D O I：
10.1214/21-ECP442
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Exponential tightness of a family of Skorohod integrals is studied in this paper. We first provide a counterexample to illustrate that in general the exponential tightness with speed epsilon similar to Ito integral does not hold, even for any speed epsilon(alpha) with alpha > 0. Then, some characterizations of this subject are given. Application is also provided to illustrate our results.
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页数：14
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