Large deviations for small noise diffusions with discontinuous statistics

DOI10.1007/PL00008720zbMath0949.60046OpenAlexW2058273789MaRDI QIDQ1964762

Michelle Boué, Richard S. Ellis, Paul Dupuis

Publication date: 3 December 2000

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00008720

zbMATH Keywords

large deviationsdiscontinuous statisticssmall noise diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10)

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Large deviation of diffusion processes with discontinuous drift and their occupation times. ⋮ Effective junction conditions for degenerate parabolic equations ⋮ Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients ⋮ Large deviations for multiscale diffusion via weak convergence methods ⋮ Excessive backlog probabilities of two parallel queues ⋮ Euler schemes and large deviations for stochastic Volterra equations with singular kernels ⋮ Freidlin-Wentzell's large deviations for stochastic evolution equations ⋮ Schilder theorem for the Brownian motion on the diffeomorphism group of the circle ⋮ Variational representations for continuous time processes ⋮ Clark-Ocone formula and variational representation for Poisson functionals

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