On Large Deviations for Small Noise Itô Processes

DOI10.1239/aap/1418396246zbMath1305.60019arXiv1212.3223OpenAlexW3100008807MaRDI QIDQ2939269

Markus Fischer, Alberto Chiarini

Publication date: 19 January 2015

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.3223

zbMATH Keywords

stochastic differential equationweak convergencetime delaylarge deviationsCIR processItō processFreidlin-Wentzell estimate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10) Stochastic functional-differential equations (34K50)

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Cites Work

• General Freidlin-Wentzell large deviations and positive diffusions
• Variational representations for continuous time processes
• Large deviations for infinite dimensional stochastic dynamical systems
• A variational representation for certain functionals of Brownian motion
• On some degenerate large deviation problems
• Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
• Large deviations for stochastic systems with memory
• On the uniqueness of solutions of stochastic differential equations
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