Geodesic
Large deviation principle for one-dimensional SDEs with discontinuous coefficients
Teoriâ slučajnyh processov, Tome 18 (2012) no. 2, pp. 102-108

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We discuss the large deviation principle for one-dimensional SDEs with discontinuous coefficients. It is shown that the discontinuity of coefficients leads, in general, to the LDP asymptotics with a rate function which differs from the rate function in the standard Freidlin–Wentzell theorem.
Keywords: Large deviation principle, Varadhan lemma, Bryc formula, change of measure. 
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     author = {Daryna D. Sobolieva},
     title = {Large deviation principle for one-dimensional {SDEs} with discontinuous coefficients},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {102--108},
     publisher = {mathdoc},
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     number = {2},
     year = {2012},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2012_18_2_a10/}
}
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Daryna D. Sobolieva. Large deviation principle for one-dimensional SDEs with discontinuous coefficients. Teoriâ slučajnyh processov, Tome 18 (2012) no. 2, pp. 102-108. http://geodesic.mathdoc.fr/item/THSP_2012_18_2_a10/