Large deviations for one-dimensional SDE with discontinuous diffusion coefficient
Teoriâ slučajnyh processov, Tome 18 (2012) no. 1, pp. 101-110
Voir la notice de l'article provenant de la source Math-Net.Ru
Large deviation principle is established for a family of solutions to one-dimensional SDE's under the condition that the set of discontinuity points of the diffusion coefficient has zero Lebesgue measure.
Keywords:
LDP, one-dimensional SDE, semicontraction principles.
@article{THSP_2012_18_1_a5,
author = {Alexei M. Kulik and Daryna D. Soboleva},
title = {Large deviations for one-dimensional {SDE} with discontinuous diffusion coefficient},
journal = {Teori\^a slu\v{c}ajnyh processov},
pages = {101--110},
publisher = {mathdoc},
volume = {18},
number = {1},
year = {2012},
language = {en},
url = {http://geodesic.mathdoc.fr/item/THSP_2012_18_1_a5/}
}
TY - JOUR AU - Alexei M. Kulik AU - Daryna D. Soboleva TI - Large deviations for one-dimensional SDE with discontinuous diffusion coefficient JO - Teoriâ slučajnyh processov PY - 2012 SP - 101 EP - 110 VL - 18 IS - 1 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/THSP_2012_18_1_a5/ LA - en ID - THSP_2012_18_1_a5 ER -
Alexei M. Kulik; Daryna D. Soboleva. Large deviations for one-dimensional SDE with discontinuous diffusion coefficient. Teoriâ slučajnyh processov, Tome 18 (2012) no. 1, pp. 101-110. http://geodesic.mathdoc.fr/item/THSP_2012_18_1_a5/