Abstract.
We prove an abstract large deviation result for a sequence of random elements of a vector space satisfying an “abstract exponential martingale condition”. The framework naturally generates non-convex rate functions. We apply the result to solutions of Itô stochastic equations in R d driven by Brownian motion and a Poisson random measure.
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Received: 23 June 1999 / Revised version: 17 February 2000 / Published online: 22 November 2000
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de Acosta, A. A general non-convex large deviation result with applications to stochastic equations. Probab Theory Relat Fields 118, 483–521 (2000). https://doi.org/10.1007/PL00008752
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DOI: https://doi.org/10.1007/PL00008752