Zero noise limit of a stochastic differential equation involving a local time

zbMath1408.60045MaRDI QIDQ1626404

Taro Matsumura, Kazumasa Kuwada

Publication date: 27 November 2018

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ojm/1539158672

zbMATH Keywords

small parameterlarge deviation principlelimit behaviornon-Lipschitz driftstochastic differential equation with local time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Large deviations (60F10) Local time and additive functionals (60J55)

Cites Work

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• On skew Brownian motion
• Small perturbation of diffusions in inhomogeneous media
• Functional law of the iterated logarithm type for a skew Brownian motion
• Small random perturbations of peano phenomena
• A singular large deviations phenomenon

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