Large deviation principle for diffusion processes (Q1108660): Difference between revisions

The present paper is concerned with the problem of large deviations for solutions of \[ dX^{\epsilon}(t)=b(X^{\epsilon}(t))dt+\epsilon^{1/2}\sigma (X^{\epsilon}(t))dw(t). \] The main result is a generalization of theorem 4.13 of \textit{D. W. Stroock}, An introduction to the theory of large deviations. (1984; Zbl 0552.60022); the global Lipschitz assumption is replaced by a growth condition (linear, times a logarithmic factor). The diffusion \(\sigma \sigma^*\) is assumd to be positive and twice differentiable. As an example of a system with degenerate diffusion, two coupled oscillators of Lienard type with white noise forcing is considered. A growth condition yields a large deviation principle in this case, too.