Abstract
The large deviation principle in the small noise limit is derived for solutions of possibly degenerate Itô stochastic differential equations with predictable coefficients, which may also depend on the large deviation parameter. The result is established under mild assumptions using the Dupuis-Ellis weak convergence approach. Applications to certain systems with memory and to positive diffusions with square-root-like dispersion coefficient are included.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
