Large deviation of diffusion processes with discontinuous drift

被引:0
|
作者
Chiang, TS [1 ]
Sheu, SJ [1 ]
机构
[1] Acad Sinica, Inst Math, Taipei, Taiwan
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中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
For the system of d-dim stochastic differential equations {dX(epsilon) (t) = b(X-epsilon (t)) dt + epsilon dW (t), t is an element of [0, 1] X-epsilon (0) = x(0) is an element of R-d where b is smooth except possibly along the hyperplane x(1) = 0, we shall consider the large deviation principle for the law of the solution diffusion process and its occupation time as epsilon --> 0. In other words, we consider P(parallel toX(epsilon) - phi parallel to < <delta>, parallel tou(epsilon) - psi parallel to < <delta>) where u(epsilon) (t) and psi (t) are the occupation times of X-epsilon and phi in the positive half space {x is an element of R-d : x(1) > 0) respectively. As a consequence, a unified approach of the lower-level large deviation principle for the law of X-epsilon(.) P(parallel toX(epsilon) - phi parallel to < <delta>) can be obtained.
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页码:159 / 175
页数:17
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