Large deviations for small noise diffusions with discontinuous statistics

被引：0

作者：

Michelle Boué

Paul Dupuis

Richard S. Ellis

机构：

[1] Instituto Tecnologico Autonomo de Mexico,

[2] Departamento de Matematicas,undefined

[3] Rio Hondo #1,undefined

[4] Tizapan,undefined

[5] San Angel,undefined

[6] Mexico,undefined

[7] D.F. 01000 Mexico. e-mail: michelle@gauss.rhon.itam.mx,undefined

[8] Division of Applied Mathematics,undefined

[9] Brown University,undefined

[10] Providence,undefined

[11] RI 02912,undefined

[12] USA. e-mail: dupuis@cfm.brown.edu,undefined

[13] Department of Mathematics and Statistics,undefined

[14] University of Massachusetts,undefined

[15] Amherst,undefined

[16] MA 01003,undefined

[17] USA. e-mail: rsellis@math.umass.edu,undefined

来源：

Probability Theory and Related Fields | 2000年 / 116卷

关键词：

Mathematics Subject Classification (1991): Primary 60F10; Secondary 60J60, 60H10, 93E99; Key words and phrases: Large deviations – Small noise diffusions – Discontinuous statistics;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This paper proves the large deviation principle for a class of non-degenerate small noise diffusions with discontinuous drift and with state-dependent diffusion matrix. The proof is based on a variational representation for functionals of strong solutions of stochastic differential equations and on weak convergence methods.

引用

页码：125 / 149

页数：24

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