Large deviation principle for diffusion processes under a sublinear expectation

被引：11

作者：

Chen ZengJing ^{[3
,4
]}

Xiong Jie ^{[1
,2
]}

机构：

[1] Univ Macau, Dept Math, Macau, Peoples R China

[2] Univ Tennessee, Dept Math, Knoxville, TN 37996 USA

[3] Ajou Univ, Dept Financial Engn, Suwon 443749, South Korea

[4] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

SCIENCE CHINA-MATHEMATICS | 2012年 / 55卷 / 11期

基金：

中国国家自然科学基金; 美国国家科学基金会;

关键词：

large deviation principle; backward stochastic differential equation; g-expectation; ambiguity; WENTZELL LARGE DEVIATIONS;

D O I：

10.1007/s11425-012-4518-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We represent the exponential moment of the Brownian functionals under a nonlinear expectation according to the solution to a backward stochastic differential equation. As an application, we establish a large deviation principle of the Freidlin and Wentzell type under the corresponding nonlinear probability for diffusion processes with a small diffusion coefficient.

引用

页码：2205 / 2216

页数：12

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