Large deviation principle for diffusion processes under a sublinear expectation

DOI10.1007/s11425-012-4518-4zbMath1284.60058MaRDI QIDQ1934420

Jie Xiong, Zeng-Jing Chen

Publication date: 28 January 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-012-4518-4

zbMATH Keywords

large deviation principle; \(g\)-expectation; backward stochastic differential equation; Laplace principle

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60F10: Large deviations

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Asymptotic properties of coupled forward–backward stochastic differential equations, Stochastic filtering under model ambiguity, Moderate deviations principle for independent random variables under sublinear expectations, Concentration inequalities for upper probabilities, Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains, Large deviation principle for random variables under sublinear expectations on \(\mathbb{R}^d\), Large deviation for negatively dependent random variables under sublinear expectation

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