A variational representation and large deviations for functionals of G-Brownian motion
Probability
2012-04-23 v1
Abstract
A variational representation for functionals of G-Brownian motion is established by a finite-dimensional approximate technique. As an application of the variational representation, we obtain a large deviation principle for stochastic flows driven by G-Brownian motion.
Cite
@article{arxiv.1204.4525,
title = {A variational representation and large deviations for functionals of G-Brownian motion},
author = {Fuqing Gao},
journal= {arXiv preprint arXiv:1204.4525},
year = {2012}
}
Comments
The variational representation was announced at The 7th Workshop Markov Processes and Related Topics, Beijing Normal University, July 19-23, 2010(http://math.bnu.edu.cn/probab/Workshop2010/Talks/GaoFuqing.pdf)