• Bulletin of the Korean Mathematical Society
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• v.55 no.2
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• pp.479-497
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• 2018

This paper deals with an optimal control on semilinear stochastic functional differential equations with Poisson jumps in a Hilbert space. The existence of an optimal control is derived by the solution of proposed system which satisfies weakly sequentially compactness. Also the stochastic maximum principle for the optimal control is established by using spike variation technique of optimal control with a convex control domain in Hilbert space. Finally, an application of retarded type stochastic Burgers equation is given to illustrate the theory.

• Journal of the Korean Statistical Society
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• v.22 no.1
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• pp.93-111
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• 1993

Let ${X(t) : t \geq 0}$ be a real-valued stochastics process with stationary independent increments. In this paper, under the condition of stochastic compactness, we obtain appropriate function $\alpha(t)$ and random function $\beta(t)$ such that for some positive finite constant C, lim sup${X(t) - \alpha(t)}/\beta(t) = C$ a.s. both as t tends to zero and infinity.

• Journal of the Korean Mathematical Society
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• v.35 no.3
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• pp.583-611
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• 1998

We consider a general class of real-valued Levy processes {X(t), $t\geq0$}, and obtain suitable large deviation results for the empiricals L(t, A) defined by $t^{-1}{\int^t}_01_A$(X(s)ds for t > 0 and a Borel subset A of R. These results are used to obtain the asymptotic behavior of P{Z(t) < a}, where Z(t) = $sup_{u\leqt}\midx(u)\mid$ as $t\longrightarrow\infty$, in terms of the rate function in the large deviation principle. A subclass of these processes is the Feller class: there exist nonrandom functions b(t) and a(t) > 0 such that {(X(t) - b(t))/a(t) : t > 0} is stochastically compact, i.e., each sequence has a weakly convergent subsequence with a nondegenerate limit. The stable processes are in this class, but it is much larger. We consider processes in this class for which b(t) may be taken to be zero. For any t > 0, we consider the renormalized process ${X(u\psi(t))/a(\psi(t)),u\geq0}$, where $\psi$(t) = $t(log log t)^{-1}$, and obtain large deviation probability estimates for $L_{t}(A)$ := $(log log t)^{-1}$${\int_{0}}^{loglogt}1_A$$(X(u\psi(t))/a(\psi(t)))dv$. It turns out that the upper and lower bounds are sharp and depend on the entire compact set of limit laws of {X(t)/a(t)}. The results extend to random walks in the Feller class as well. Earlier results of this nature were obtained by Donsker and Varadhan for symmetric stable processes and by Jain for random walks in the domain of attraction of a stable law.