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：
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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.
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页码：125 / 149
页数：24
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