Exponential tightness of a family of Skorohod integrals

2021/01/19 by Nguyen, Nhu N.
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2101.07604

Abstract

Exponential tightness of a family of Skorohod integrals is studied in this paper. We first provide a counterexample to illustrate that in general the exponential tightness with speed ε similar to Itô integral does not hold, even for any speed ε^α with α> 0. Then, some characterizations of this subject are given. Application is also provided to illustrate the proposed results.

Related

• Optimal approximation of Skorohod integrals
• Weak Convergence of Stochastic Integrals on Skorokhod Space in Skorokhod's J1 and M1 Topologies
• Relative compactness of Itô integrals on the M1 Skorokhod space with identification of limits
• Tightness and exponential tightness of Gaussian probabilities
• Limit theorems for singular Skorohod integrals