Large deviations principle for stationary solutions of stochastic differential equations with multiplicative noise
Probability
2022-06-07 v1
Abstract
We study the large deviations principle (LDP) for stationary solutions of a class of stochastic differential equations (SDE) in infinite time intervals by the weak convergence approach, and then establish the LDP for the invariant measures of the SDE by the contraction principle. We further point out the equivalence of the rate function of the LDP for invariant measures induced by the LDP for stationary solutions and the rate function defined by quasi-potential. This fact gives another view of the quasi-potential introduced by Freidlin and Wentzell.
Keywords
Cite
@article{arxiv.2206.02356,
title = {Large deviations principle for stationary solutions of stochastic differential equations with multiplicative noise},
author = {Peipei Gao and Yong Liu and Yue Sun and Zuohuan Zheng},
journal= {arXiv preprint arXiv:2206.02356},
year = {2022}
}
Comments
54 pages, 9 figures