Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains (Q2105378)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains |
scientific article; zbMATH DE number 7629089
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains |
scientific article; zbMATH DE number 7629089 |
Statements
Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains (English)
0 references
8 December 2022
0 references
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.
0 references
large deviations
0 references
Skorohod problem
0 references
G-Brownian motion
0 references
stochastic differential equations
0 references
non-convex reflecting boundaries
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8640300631523132
0 references
0.8446076512336731
0 references
0.8189062476158142
0 references
0.8061990141868591
0 references
