Large deviation principle for one-dimensional SDEs with discontinuous coefficients
We establish the large deviation principle for solutions of one-dimensional SDEs with discontinuous coefficients. The main statement is formulated in a form similar to the classical Wentzel–Freidlin theorem, but under the considerably weaker assumption that the coefficients have no discontinuities o...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2016-07-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA57 |