Large deviations of semimartingales via convergence of the predictable characteristics

1 July 1994

journal article
research article
Published by Taylor & Francis in Stochastics and Stochastic Reports

Vol. 49 (1-2) , 27-85
https://doi.org/10.1080/17442509408833911

Abstract

We establish conditions for the large deviation principle in the Skorohod topology to hold for a sequence of semimartingales in terms of the convergence of their predictable characteristics. We also develop “a theory of weak convergence for rate functions”

Keywords

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