Simple proof of a large deviation result

DOI10.1007/BF02677376MaRDI QIDQ5949524zbMATH OpenFDO

Authors Zhixiang Zhang

Publication date 14 August 2002

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02677376

zbMATH Keywords

contraction principleDonsker's invariance principlelarge deviation principlestochastic differential equation

Mathematics Subject Classification ID

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

Review text

A large deviation result for a scalar stochastic process with discontinuous drift and additive noise is proved by means of the contraction principle and the Donsker's invariance principle. The proof here is elementary and is simpler than that of \textit{T. S. Chiang} and \textit{S. J. Sheu} [Ann. Probab. 28, No. 1, 140-165 (2000)].

Recommendations

• scientific article; zbMATH DE number 432957
• A steady result for large deviation in SDE with an application
• Large deviations for small noise diffusions with discontinuous statistics
• scientific article; zbMATH DE number 1595035
• Large deviations for almost Markovian processes

Cites work

• Action functional for diffusions in discontinuous media
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Large deviation for a discontinuous nonhomogeneous system.
• Large deviation of diffusion processes with discontinuous drift and their occupation times.
• Large deviation of small perturbation of some unstable systems
• The action functional for diffusion processes with a discontinuous drift

Cited in

(2)

• A simple proof of the majorizing measure theorem
• scientific article; zbMATH DE number 432957 (Why is no real title available?)

This page was built for publication: Simple proof of a large deviation result

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5949524)