Large Deviation Principle for Neutral Type Mckean-Vlasov Stochastic Differential Equations
Probability
2025-11-25 v1
Abstract
This paper investigates neutral-type McKean-Vlasov stochastic differential equations in which the drift and diffusion coefficients depend on both the segment process and its distribution. Under a one-sided Lipschitz condition on the drift coefficient, we establish a Freidlin-Wentzell-type large deviation principle for the solution process by using the extended contraction principle combined with an exponential approximation technique. Our results extend existing large deviation principles for McKean-Vlasov equations to the neutral case.
Cite
@article{arxiv.2511.19181,
title = {Large Deviation Principle for Neutral Type Mckean-Vlasov Stochastic Differential Equations},
author = {Zhaohang Wang and Junhao Hu and Chenggui Yuan},
journal= {arXiv preprint arXiv:2511.19181},
year = {2025}
}