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Theory of Stochastic Processes, 2012, Volume 18(34), Issue 2, Pages 102–108 (Mi thsp34)  
Large deviation principle for one-dimensional SDEs with discontinuous coefficients

Daryna D. Sobolieva

Department of Probability Theory, Statistics and Actuarial Mathematics, Mechanics and Mathematics faculty, Taras Shevchenko National University of Kyiv, 6, Glushkova Prosp., Kyiv 03127, Ukraine
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Abstract: We discuss the large deviation principle for one-dimensional SDEs with discontinuous coefficients. It is shown that the discontinuity of coefficients leads, in general, to the LDP asymptotics with a rate function which differs from the rate function in the standard Freidlin–Wentzell theorem.
Keywords: Large deviation principle, Varadhan lemma, Bryc formula, change of measure.
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Document Type: Article
MSC: 60F10, 60H10
Language: English
Citation: Daryna D. Sobolieva, “Large deviation principle for one-dimensional SDEs with discontinuous coefficients”, Theory Stoch. Process., 18(34):2 (2012), 102–108
Citation in format AMSBIB
\Bibitem{Sob12}
\by Daryna D. Sobolieva
\paper Large deviation principle for one-dimensional SDEs with discontinuous coefficients
\jour Theory Stoch. Process.
\yr 2012
\vol 18(34)
\issue 2
\pages 102--108
\mathnet{http://mi.mathnet.ru/thsp34}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3124779}
\zmath{https://zbmath.org/?q=an:1289.60027}
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