On large deviations for small noise It\^o processes
Probability
2015-01-06 v3
Abstract
The large deviation principle in the small noise limit is derived for solutions of possibly degenerate It\^o stochastic differential equations with predictable coefficients, which may depend also on the large deviation parameter. The result is established under mild assumptions using the Dupuis-Ellis weak convergence approach. Applications to certain systems with memory and to positive diffusions with square-root-like dispersion coefficient are included.
Cite
@article{arxiv.1212.3223,
title = {On large deviations for small noise It\^o processes},
author = {Alberto Chiarini and Markus Fischer},
journal= {arXiv preprint arXiv:1212.3223},
year = {2015}
}
Comments
30 pages