Large Deviations for Past-Dependent Recursions
Probability
2007-05-23 v1
Abstract
The Large Deviation Principle is established for stochastic models defined by past-dependent non linear recursions with small noise. In the Markov case we use the result to obtain an explicit expression for the asymptotics of exit time.
Cite
@article{arxiv.math/0603407,
title = {Large Deviations for Past-Dependent Recursions},
author = {F. Klebaner and R. Liptser},
journal= {arXiv preprint arXiv:math/0603407},
year = {2007}
}
Comments
Revised version