Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains

DOI10.1016/J.SPL.2022.109707MaRDI QIDQ2105378zbMATHOpenAlexWikidataFDO

Authors Abdoulaye Soumana Hima, Ibrahim Dakaou

Publication date 8 December 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2022.109707

zbMATH Keywords

large deviationsstochastic differential equationsG-Brownian motionSkorohod problemnon-convex reflecting boundaries

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cites work

• scientific article; zbMATH DE number 3826915 (Why is no real title available?)
• A large deviation principle of reflecting diffusions
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• Large deviations for backward stochastic differential equations driven by \(G\)-Brownian motion
• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
• On Cramér's theorem for capacities
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
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• Reflected stochastic differential equations driven by \(G\)-Brownian motion in non-convex domains
• Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
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Cited in

(3)

• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• Reflected stochastic differential equations driven by \(G\)-Brownian motion in non-convex domains
• Reflecting image-dependent SDEs in Wasserstein space and large deviation principle

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