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scientific article; zbMATH DE number 139945
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scientific article; zbMATH DE number 139945 |
Statements
28 March 1993
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stochastic differential equation
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Cameron-Martin-Girsanov formula
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regularized drifts
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0.7999756932258606
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0.7911032438278198
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0.7873225808143616
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[For the entire collection see Zbl 0764.00003.] An ordinary stochastic differential equation \(dx_ t=b(x_ t)dt+\varepsilon dw_ t\) with measurable drift \(b\) and constant diffusion \(\varepsilon\) is under consideration. Some large deviation estimates of the Frejdlin-Venttsel' type are established formally. In the discussion the Cameron-Martin-Girsanov formula and the approximation of \(b\) by a sequence of regularized drifts are used so as to reduce to known results.
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