Action Functional for a Diffusion Process with Discontinuous Drift

DOI10.1137/1137105zbMATH Open0788.60094OpenAlexW2011790965MaRDI QIDQ4030702FDOQ4030702

Authors: Alexander Korostelev, Sergei Leonov 

Publication date: 1 April 1993

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1137105

zbMATH Keywords

action functionalstochastic differential equationssmall random perturbations

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (4)

• Large deviations for a simple closed queueing model
• Large deviations for Markov processes with discontinuous statistics. II: Random walks
• The action functional for a family of diffusion fields in the plane
• Large deviation of diffusion processes with discontinuous drift and their occupation times.

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