Large deviation principle for one-dimensional SDEs with discontinuous coefficients

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...

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Main Authors: Alexei Kulik, Daryna Sobolieva
Format: Article
Language:English
Published: VTeX 2016-07-01
Series:Modern Stochastics: Theory and Applications
Subjects:
large deviations principle
exponential tightness
contraction and semicontraction principles
Online Access:https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA57
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spelling doaj-2508907d5927417fb7ae3ea9a8b608b72020-11-25T02:48:03ZengVTeXModern Stochastics: Theory and Applications2351-60462351-60542016-07-013214516410.15559/16-VMSTA57Large deviation principle for one-dimensional SDEs with discontinuous coefficientsAlexei Kulik0Daryna Sobolieva1Institute of Mathematics, Ukrainian National Academy of Sciences, Tereshchenkivska, 3, Kyiv, 01601, UkraineTaras Shevchenko National University of Kyiv, Volodymyrska, 64, Kyiv, 01033, UkraineWe 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 of the second kind.https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA57large deviations principleexponential tightnesscontraction and semicontraction principles
collection DOAJ
language English
format Article
sources DOAJ
author Alexei Kulik
Daryna Sobolieva
spellingShingle Alexei Kulik
Daryna Sobolieva
Large deviation principle for one-dimensional SDEs with discontinuous coefficients
Modern Stochastics: Theory and Applications
large deviations principle
exponential tightness
contraction and semicontraction principles
author_facet Alexei Kulik
Daryna Sobolieva
author_sort Alexei Kulik
title Large deviation principle for one-dimensional SDEs with discontinuous coefficients
title_short Large deviation principle for one-dimensional SDEs with discontinuous coefficients
title_full Large deviation principle for one-dimensional SDEs with discontinuous coefficients
title_fullStr Large deviation principle for one-dimensional SDEs with discontinuous coefficients
title_full_unstemmed Large deviation principle for one-dimensional SDEs with discontinuous coefficients
title_sort large deviation principle for one-dimensional sdes with discontinuous coefficients
publisher VTeX
series Modern Stochastics: Theory and Applications
issn 2351-6046
2351-6054
publishDate 2016-07-01
description 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 of the second kind.
topic large deviations principle
exponential tightness
contraction and semicontraction principles
url https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA57
work_keys_str_mv AT alexeikulik largedeviationprincipleforonedimensionalsdeswithdiscontinuouscoefficients
AT darynasobolieva largedeviationprincipleforonedimensionalsdeswithdiscontinuouscoefficients
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