Large deviations for stochastic differential delay equations

DOI10.1016/J.NA.2012.10.004MaRDI QIDQ1937587zbMATH OpenOpenAlexFDO

Authors Chi Mo, Jiaowan Luo

Publication date 1 March 2013

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2012.10.004

zbMATH Keywords

Laplace principlelarge deviation principlestochastic differential delay equation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic functional-differential equations (34K50) Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Review text

The authors establish a Freidlin-Wentzell-type large deviation principle for a class of scalar stochastic differential delay equations under a slightly weaker continuity condition on the coefficients than in [\textit{S.-E. A. Mohammed} and \textit{T. Zhang}, Discrete Contin. Dyn. Syst., Ser. B 6, No. 4, 881--893 (2006; Zbl 1136.60021)].

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(22)

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• A minimum action method for dynamical systems with constant time delays
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