Higher order asymptotics for large deviations -- Part II
Probability
2021-04-06 v1
Abstract
We obtain asymptotic expansions for the large deviation principle (LDP) for continuous time stochastic processes with weakly dependent increments. As a key example, we show that additive functionals of solutions of stochastic differential equations (SDEs) satisfying H\"ormander condition on a dimensional compact manifold admit these asymptotic expansions of all orders.
Cite
@article{arxiv.1907.11655,
title = {Higher order asymptotics for large deviations -- Part II},
author = {Kasun Fernando and Pratima Hebbar},
journal= {arXiv preprint arXiv:1907.11655},
year = {2021}
}
Comments
17 pages