Large deviation principle for diffusion processes under a sublinear expectation
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Publication:1934420
DOI10.1007/s11425-012-4518-4zbMath1284.60058OpenAlexW2108060696MaRDI QIDQ1934420
Publication date: 28 January 2013
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-012-4518-4
large deviation principle\(g\)-expectationbackward stochastic differential equationLaplace principle
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10)
Related Items (7)
Large deviation principle for random variables under sublinear expectations on \(\mathbb{R}^d\) ⋮ Stochastic filtering under model ambiguity ⋮ Asymptotic properties of coupled forward–backward stochastic differential equations ⋮ Large deviation for negatively dependent random variables under sublinear expectation ⋮ Moderate deviations principle for independent random variables under sublinear expectations ⋮ Concentration inequalities for upper probabilities ⋮ Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains
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