Large deviations for a class of planar functional stochastic differential equations

DOI10.1081/SAP-120000762MaRDI QIDQ2765183zbMATH OpenFDO

Authors Tim Zajik

Publication date 11 March 2002

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/SAP-120000762

zbMATH Keywords

exponential approximationfunctional stochastic differential equationsjoint distributionlarge deviation principle

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Large deviation principle for the joint distribution of the initial condition and solution is proved for a class of functional planar stochastic differential equations, provided the initial condition is either deterministic or random but is independent of the Brownian sheet and satisfies a large deviation principle with goodness of rate function. Exponential approximation method is used to relax the bounded condition on the diffusion term in the proof.

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Cites work

• An introduction to the theory of large deviations
• Brownian motion and stochastic calculus
• Differentiation formulas for stochastic integrals in the plane
• Existence of strong solutions for stochastic differential equations in the plane
• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• scientific article; zbMATH DE number 3975993 (Why is no real title available?)
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• Limit theorems on large deviations for semimartingales
• Stochastic integrals in the plane

Cited in

(1)

• Large deviations for neutral stochastic functional differential equations

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