Large Deviations for SDE driven by Heavy-tailed Lévy Processes (2101.03856v3)

Abstract: We obtain sample-path large deviations for a class of one-dimensional stochastic differential equations with bounded drifts and heavy-tailed L\'evy processes. These heavy-tailed L\'evy processes do not satisfy the exponential integrability condition, which is a common restriction on the L\'evy processes in existing large deviations contents. We further prove that the solution processes satisfy a weak large deviation principle with a discrete rate function and logarithmic speed. We also show that they do not satisfy the full large deviation principle.