scientific article; zbMATH DE number 139945

MaRDI QIDQ4028295zbMATH OpenFDO

Authors G. Jona-Lasinio

Publication date 28 March 1993

zbMATH Keywords

Cameron-Martin-Girsanov formularegularized driftsstochastic differential equation

Mathematics Subject Classification ID

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

Review text

[For the entire collection see Zbl 0764.00003.] An ordinary stochastic differential equation \(dx_ t=b(x_ t)dt+\varepsilon dw_ t\) with measurable drift \(b\) and constant diffusion \(\varepsilon\) is under consideration. Some large deviation estimates of the Frejdlin-Venttsel' type are established formally. In the discussion the Cameron-Martin-Girsanov formula and the approximation of \(b\) by a sequence of regularized drifts are used so as to reduce to known results.

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Cited in

(6)

• Large deviations for a class of anticipating stochastic differential equations
• Limit of solutions of a SDE with a large drift driven by a Poisson random measure
• Large deviations for multiscale diffusion via weak convergence methods
• Weak limit theorems for stochastic differential equations driven by martingale measures
• Large deviations for solutions of singularly perturbed stochastic differential equations
• On weak solution of SDE driven by inhomogeneous singular Lévy noise

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