Martingale problems for large deviations of Markov processes

DOI10.1016/S0304-4149(98)00104-5zbMath0962.60008OpenAlexW2006712105MaRDI QIDQ1593632

Jin Feng

Publication date: 17 January 2001

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00104-5

zbMATH Keywords

Markov processeslarge deviationscontrol theoryviscosity solutionsmartingale problem

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Large deviations (60F10)

Related Items (13)

Spectral theory and limit theorems for geometrically ergodic Markov processes ⋮ Approximating a diffusion by a finite-state hidden Markov model ⋮ Geometric ergodicity in a weighted Sobolev space ⋮ Cosh gradient systems and tilting ⋮ Large deviations problem for random evolution processes ⋮ Large deviations for random evolutions with independent increments in a scheme of the Lévy approximation ⋮ Large deviations under a viewpoint of metric geometry: measure-valued process cases ⋮ Small-time asymptotics for fast mean-reverting stochastic volatility models ⋮ On asymptotically efficient simulation of large deviation probabilities ⋮ SMALL TIME ASYMPTOTICS FOR FLEMING–VIOT PROCESSES ⋮ Large deviation for diffusions and Hamilton-Jacobi equation in Hilbert spaces ⋮ Large deviations of Markov chains with multiple time-scales ⋮ A PDE approach to large deviations in Hilbert spaces

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