Asymptotic behavior of densities for stochastic functional differential equations (Q1952464): Difference between revisions

Summary: Consider stochastic functional differential equations depending on the whole history in a finite time interval, which determine non-Markovian processes. Under the uniformly elliptic condition on the coefficients of the diffusion terms, the solution admits a smooth density with respect to the Lebesgue measure. In the present paper, we study the large deviations for the family of the solution processes and the asymptotic behaviours of the density. The Malliavin calculus plays a crucial role in our argumentation.