ON LARGE DEVIATIONS FOR SMALL NOISE ITO PROCESSES

被引：0
|
作者：
Chiarini, Alberto [1 ]
Fischer, Markus [2 ]
机构：
[1] Tech Univ Berlin, Dept Math, D-10623 Berlin, Germany
[2] Univ Padua, Dept Math, I-35121 Padua, Italy
来源：
ADVANCES IN APPLIED PROBABILITY | 2014年 / 46卷 / 04期
关键词：
Large deviation; Ito process; stochastic differential equation; Freidlin-Wentzell estimate; time delay; CIR process; weak convergence;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The large deviation principle in the small noise limit is derived for solutions of possibly degenerate Ito stochastic differential equations with predictable coefficients, which may also depend on the large deviation parameter. The result is established under mild assumptions using the Dupuis-Ellis weak convergence approach. Applications to certain systems with memory and to positive diffusions with square-root-like dispersion coefficient are included.
引用
收藏
页码：1126 / 1147
页数：22
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