On evaluating the Donsker-Varadhan I-function

DOI10.1214/AOP/1176992995zbMath0607.60024OpenAlexW2095176726MaRDI QIDQ1085515

Ross G. Pinsky

Publication date: 1985

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176992995

zbMATH Keywords

diffusions with boundariesoccupation measuremartingale problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Large deviations (60F10)

Related Items (10)

Conditioning diffusion processes with respect to the local time at the origin ⋮ Large deviations for the empirical measure of a diffusion via weak convergence methods ⋮ Large deviations and stochastic flows of diffeomorphisms ⋮ The large-maturity smile for the Stein-Stein model ⋮ Universal excursion and bridge shapes in ABBM/CIR/Bessel processes ⋮ REGULARITY PROPERTIES OF THE DONSKER–VARADHAN RATE FUNCTIONAL FOR NON-REVERSIBLE DIFFUSIONS AND RANDOM EVOLUTIONS ⋮ On evaluating the rate function of large deviations for jump processes ⋮ Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure ⋮ On the large deviation rate function for the empirical measures of reversible jump Markov processes ⋮ Large deviations of currents in diffusions with reflective boundaries

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