Volume 24, 2020
|Page(s)||148 - 185|
|Published online||06 March 2020|
Large deviations of the exit measure through a characteristic boundary for a Poisson driven SDE
Aix–Marseille Université, CNRS, Centrale Marseille, I2M, UMR
* Corresponding author: email@example.com
Accepted: 19 December 2019
Let O be the basin of attraction of a given equilibrium of a dynamical system, whose solution is the law of large numbers limit of the solution of a Poissonian SDE as the size of the population tends to +∞. We consider the law of the exit point from O of that Poissonian SDE. We adapt the approach of Day [J. Math. Anal. Appl. 147 (1990) 134–153] who studied the same problem for an ODE with a small Brownian perturbation. For that purpose, we will use the large deviations principle for the Poissonian SDE reflected at the boundary of O, studied in our recent work Pardoux and Samegni [Stoch. Anal. Appl. 37 (2019) 836–864]. The main motivation of this work is the extension of the results concerning the time of exit from the set O established in Kratz and Pardoux [Vol. 2215 of Lecture Notes in Math.. Springer (2018) 221–327] and Pardoux and Samegni [J. Appl. Probab. 54 (2017) 905–920] to unbounded open sets O. This is done in sections 4.2.5 and 4.2.7 of Britton and Pardoux [Vol. 2255 of Lecture Notes in Math. Springer (2019) 1–120], see also The SIR model with demography subsection below.
Mathematics Subject Classification: 60F10 / 60H10 / 92C60
Key words: Poisson process driven SDE / law of large numbers / large deviations principle
© The authors. Published by EDP Sciences, SMAI 2020
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