Simple proof of a large deviation result (Q5949524)
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scientific article; zbMATH DE number 1675975
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simple proof of a large deviation result |
scientific article; zbMATH DE number 1675975 |
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Simple proof of a large deviation result (English)
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14 August 2002
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A large deviation result for a scalar stochastic process with discontinuous drift and additive noise is proved by means of the contraction principle and the Donsker's invariance principle. The proof here is elementary and is simpler than that of \textit{T. S. Chiang} and \textit{S. J. Sheu} [Ann. Probab. 28, No. 1, 140-165 (2000)].
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large deviation principle
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stochastic differential equation
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contraction principle
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Donsker's invariance principle
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