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arXiv 1908.096872019-08-26math.DS

Action functionals for stochastic differential equations with Lévy noise

Shenglan Yuan, Jinqiao Duan

英文摘要：

By using large deviation theory that deals with the decay of probabilities of rare events on an exponential scale, we study the longtime behaviors and establish action functionals for scaled Brownian motion and Lévy processes with existing finite exponential moments. Based on extended contraction principle, Legendre transform and Lévy symbols, we derive the action functionals for stochastic differential equations driven by Lévy processes.

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