摘要
Let u ∈ R ,for any ω 〉 0, the processes X^ε = {X^ε（t）; 0 ≤ t≤ 1} are governed by the following random evolution equations dX^ε（t）= b（X^ε（t）,v（t））dt-εdSt/ε, where S={St; 0≤t≤1} is a compound Poisson process, the process v={v（t）; 0≤t≤1} is independent of S and takes values in R^m. We derive the large deviation principle for{（X^ε,v（.））; ε〉0} when ε↓0 by approximation method and contraction principle, which will be meaningful for us to find out the path property for the risk process of this type.
Let u ∈ R ,for any ω 〉 0, the processes X^ε = {X^ε（t）; 0 ≤ t≤ 1} are governed by the following random evolution equations dX^ε（t）= b（X^ε（t）,v（t））dt-εdSt/ε, where S={St; 0≤t≤1} is a compound Poisson process, the process v={v（t）; 0≤t≤1} is independent of S and takes values in R^m. We derive the large deviation principle for{（X^ε,v（.））; ε〉0} when ε↓0 by approximation method and contraction principle, which will be meaningful for us to find out the path property for the risk process of this type.
基金
Supported by the National Natural Science Foundation of China (70273029)
