Large Deviations for Multi-valued Stochastic Differential Equations
Probability
2009-12-31 v1
Abstract
We prove a large deviation principle of Freidlin-Wentzell's type for the multivalued stochastic differential equations with monotone drifts, which in particular contains a class of SDEs with reflection in a convex domain.
Cite
@article{arxiv.0912.5271,
title = {Large Deviations for Multi-valued Stochastic Differential Equations},
author = {Jiagang Ren and Siyan Xu and Xicheng Zhang},
journal= {arXiv preprint arXiv:0912.5271},
year = {2009}
}
Comments
12 pages