Large deviations for double Itô equations
The authors derive a large deviation principle for a class of stochastic differential equations driven by double stochastic integrals. The method of proof is based on a result by \textit{J. Xiong} [Appl. Math. Optimization 34, No. 1, 1-27 (1996; Zbl 0865.60018)] who obtained a large deviations criterion for a certain class of Banach space valued random variables. Application of Xiong's approach allows to replace the random integrands by deterministic ones. Furthermore, an exponential inequality for a type of stochastic integrals that are not martingales is obtained. For the entire collection see [Zbl 0952.00068].
- Large deviatons for integro-differential Itô equations
- Large deviations for stochastic integrodifferential equations of the Itô type with multiple randomness
- Large deviations for solutions of one dimensional Itô equations
- Large Deviations for Nonlinear Ito Type Stochastic Integrodifferential Equations
- Large deviation principle for stochastic equations with local time
- Large deviatons for integro-differential Itô equations
- Large deviations for a class of planar functional stochastic differential equations
- On large deviations for small noise Itô processes
- Large deviations for solutions of one dimensional Itô equations
- Large deviations for stochastic integrodifferential equations of the Itô type with multiple randomness
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