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.
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页码：2205 / 2216
页数：12
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