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Parabolic equations with a small parameter, and large deviations for diffusion processes
S. Ya. Makhno
Abstract:
Nonlinear second-order parabolic equations with a small parameter at the highest derivative and coefficients depending on this parameter are considered. Under weak convergence in
$L_{2,\mathrm{loc}}$ of the coefficients of the equation, uniform convergence on compacta of solutions to a generalized solution of a first-order partial differential equation is established. This result is used to justify the principle of large deviations for diffusion processes with small diffusion and coefficients that converge weakly in $L_{2,\mathrm{loc}}$.
Received: 13.09.1993
Citation:
S. Ya. Makhno, “Parabolic equations with a small parameter, and large deviations for diffusion processes”, Mat. Sb., 185:11 (1994), 41–56; Russian Acad. Sci. Sb. Math., 83:2 (1995), 331–346
Linking options:
https://www.mathnet.ru/eng/sm939https://doi.org/10.1070/SM1995v083n02ABEH003594 https://www.mathnet.ru/eng/sm/v185/i11/p41
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Abstract page: | 389 | Russian version PDF: | 124 | English version PDF: | 11 | References: | 76 | First page: | 1 |
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