Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains (Q2105378)
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| Language | Label | Description | Also known as |
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| English | Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains |
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Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains (English)
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8 December 2022
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In this paper, the authors consider a reflected stochastic differential equation (RSDE) driven by G-Brownian motion. A large deviation principle is established for the solution of the RSDE in non-convex domains. Moreover, the authors also prove a convergence rate for the solution of the RSDE to the solution of a deterministic Skorohod equation. The results are new and interesting.
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large deviations
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Skorohod problem
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G-Brownian motion
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stochastic differential equations
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non-convex reflecting boundaries
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