Large deviations for stochastic Volterra equations in the plane (Q1579897): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Import recommendations run Q6534273
 
Property / Recommended article
 
Property / Recommended article: Q3823556 / rank
 
Normal rank
Property / Recommended article: Q3823556 / qualifier
 
Similarity Score: 0.7462855
Amount0.7462855
Unit1
Property / Recommended article: Q3823556 / qualifier
 
Property / Recommended article
 
Property / Recommended article: Large deviations for stochastic Volterra equations / rank
 
Normal rank
Property / Recommended article: Large deviations for stochastic Volterra equations / qualifier
 
Similarity Score: 0.74339676
Amount0.74339676
Unit1
Property / Recommended article: Large deviations for stochastic Volterra equations / qualifier
 
Property / Recommended article
 
Property / Recommended article: On the existence of solutions with smooth density of stochastic differential equations in plane / rank
 
Normal rank
Property / Recommended article: On the existence of solutions with smooth density of stochastic differential equations in plane / qualifier
 
Similarity Score: 0.7285999
Amount0.7285999
Unit1
Property / Recommended article: On the existence of solutions with smooth density of stochastic differential equations in plane / qualifier
 
Property / Recommended article
 
Property / Recommended article: On functional limit theorems for solutions of stochastic equations / rank
 
Normal rank
Property / Recommended article: On functional limit theorems for solutions of stochastic equations / qualifier
 
Similarity Score: 0.7255659
Amount0.7255659
Unit1
Property / Recommended article: On functional limit theorems for solutions of stochastic equations / qualifier
 
Property / Recommended article
 
Property / Recommended article: Quenched large deviations for diffusions in a random Gaussian shear flow drift. / rank
 
Normal rank
Property / Recommended article: Quenched large deviations for diffusions in a random Gaussian shear flow drift. / qualifier
 
Similarity Score: 0.72547543
Amount0.72547543
Unit1
Property / Recommended article: Quenched large deviations for diffusions in a random Gaussian shear flow drift. / qualifier
 
Property / Recommended article
 
Property / Recommended article: A stochastic Taylor formula for functionals of two-parameter semimartingales / rank
 
Normal rank
Property / Recommended article: A stochastic Taylor formula for functionals of two-parameter semimartingales / qualifier
 
Similarity Score: 0.723321
Amount0.723321
Unit1
Property / Recommended article: A stochastic Taylor formula for functionals of two-parameter semimartingales / qualifier
 

Latest revision as of 19:46, 27 January 2025

scientific article
Language Label Description Also known as
English
Large deviations for stochastic Volterra equations in the plane
scientific article

    Statements

    Large deviations for stochastic Volterra equations in the plane (English)
    0 references
    0 references
    0 references
    2 April 2002
    0 references
    The authors establish a large deviation principle for the family of two-parameter \(d\)-dimensional stochastic processes \(\{X^{\varepsilon}(z), z\in [0,1]^2\}\), depending on a small parameter \(\varepsilon\in (0,1]\), which satisfy the following stochastic Volterra equation in the plane \[ X^{\varepsilon}(z)=H(z)+\int_{[0,z]}\varepsilon f(z,\eta,X^{\varepsilon}(\eta)) W(d\eta)+\int_{[0,z]}b(z,\eta,X^{\varepsilon}(\eta))d\eta, \] where \(W\) is a \(k\)-dimensional Wiener sheet. The function \(H\) is a deterministic Lipschitz function. The coefficients \(f(z,\eta,x)\) and \(b(z,\eta,x)\) and the partial derivatives \({\partial f\over\partial z_1}\), \({\partial f\over\partial z_2}\) and \({\partial^2 f\over\partial z_1 \partial z_2}\) are supposed to be Lipschitz functions in all their variables. The proof of this result is based on the \textit{R. Azencott}'s method for diffusion process [in: École d'été de probabilités de Saint-Flour VIII-1978. Lect. Notes Math. 774, 1-176 (1980; Zbl 0435.60028)]. The required exponential inequality for the stochastic integral \(\int_{[0,z]} f(z,\eta,X^{\varepsilon}(\eta)) W(d\eta)\) is obtained by expressing this integral as a representable two-parameter semimartingale in the sense of \textit{E. Wong} and \textit{M. Zakai} [Ann. Probab. 4, 570-586 (1976; Zbl 0359.60053)], and applying exponential inequalities for different classes of stochastic integrals in the plane.
    0 references
    0 references
    large deviations
    0 references
    stochastic partial differential equations
    0 references
    Brownian sheet
    0 references
    martingale inequalities
    0 references

    Identifiers