On Large Deviations for Small Noise Itô Processes

DOI10.1239/aap/1418396246zbMath1305.60019arXiv1212.3223OpenAlexW3100008807MaRDI QIDQ2939269

Markus Fischer, Alberto Chiarini

Publication date: 19 January 2015

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.3223

zbMATH Keywords

stochastic differential equationweak convergencetime delaylarge deviationsCIR processItō processFreidlin-Wentzell estimate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10) Stochastic functional-differential equations (34K50)

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