Large deviation theorem for empirical measures of degenerate diffusion processes (Q2779103)
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scientific article; zbMATH DE number 1723956
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviation theorem for empirical measures of degenerate diffusion processes |
scientific article; zbMATH DE number 1723956 |
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2 December 2002
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multidimensional degenerate diffusion processes
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stochastic differential equation
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large deviation theorem
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empirical measures
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0.9506551
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0.9367565
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Large deviation theorem for empirical measures of degenerate diffusion processes (English)
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The authors consider a class of multidimensional degenerate diffusion processes \(X^\varepsilon(t)\) in \(\mathbb{R}^r\) \((r\geq 2)\) and the asymptotic properties of empirical measures. The solution \(X^\varepsilon(t)\) satisfies the stochastic differential equation NEWLINE\[NEWLINEdX^\varepsilon(t)= \sigma(X^\varepsilon(t)) dW(t)+ B(X^\varepsilon(t)) dt+ \sqrt{\varepsilon} \widetilde\sigma(X^\varepsilon(t)) d\widetilde W(t),\quad \varepsilon> 0.NEWLINE\]NEWLINE \(X^\varepsilon(t)\) are small random perturbations of the degenerate diffusion process \(X(t)\), which satisfies the stochastic differential equation NEWLINE\[NEWLINEdX(t)=\sigma(X(t)) dW(t)+ B(X(t)) dt.NEWLINE\]NEWLINE A large deviation theorem for projection measures \(\nu\) on \(\mathbb{R}^{r-n}\) \((n< r)\) of empirical measures \(\mu\) is proved.
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