Large deviation principle for one-dimensional SDEs with discontinuous coefficients
Probability
2016-07-14 v1
Abstract
We establish the large deviation principle for solutions of one-dimensional SDEs with discontinuous coefficients. The main statement is formulated in a form similar to the classical Wentzel--Freidlin theorem, but under the considerably weaker assumption that the coefficients have no discontinuities of the second kind.
Cite
@article{arxiv.1607.03614,
title = {Large deviation principle for one-dimensional SDEs with discontinuous coefficients},
author = {Alexei Kulik and Daryna Sobolieva},
journal= {arXiv preprint arXiv:1607.03614},
year = {2016}
}
Comments
Published at http://dx.doi.org/10.15559/16-VMSTA57 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)