Large deviation principle for diffusion processes (Q1108660)
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Large deviation principle for diffusion processes (English)
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1988
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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.
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large deviations
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coupled oscillators of Lienard type
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