Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation
نویسندگان
چکیده
منابع مشابه
Large Deviations for Non-Markovian Diffusions and a Path-Dependent Eikonal Equation
This paper provides a large deviation principle for Non-Markovian, Brownian motion driven stochastic differential equations with random coefficients. Similar to Gao & Liu [19], this extends the corresponding results collected in Freidlin & Wentzell [18]. However, we use a different line of argument, adapting the PDE method of Fleming [14] and Evans & Ishii [10] to the pathdependent case, by usi...
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This paper provides a large deviation principle for Non-Markovian, Brownian motion driven stochastic di↵erential equations with random coe cients. Similar to Gao & Liu [19], this extends the corresponding results collected in Freidlin & Wentzell [18]. However, we use a di↵erent line of argument, adapting the PDE method of Fleming [14] and Evans & Ishii [10] to the pathdependent case, by using b...
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ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
سال: 2016
ISSN: 0246-0203
DOI: 10.1214/15-aihp678