A variational representation and large deviations for functionals of G-Brownian motion
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Publication:6232467
arXiv1204.4525MaRDI QIDQ6232467FDOQ6232467
Publication date: 19 April 2012
Abstract: A variational representation for functionals of G-Brownian motion is established by a finite-dimensional approximate technique. As an application of the variational representation, we obtain a large deviation principle for stochastic flows driven by G-Brownian motion.
Large deviations (60F10) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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