Large deviations principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections

DOI10.1214/11-AIHP444zbMath1270.60032arXiv1012.2581MaRDI QIDQ1943324

Magdalena Kobylanski

Publication date: 19 March 2013

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.2581

zbMATH Keywords

Hamilton-Jacobi equationsviscosity solutionsreflected diffusionslarge deviations, small noise limit

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Large deviations (60F10)

Related Items (2)

On uniform large deviations principle for multi-valued SDEs via the viscosity solution approach ⋮ Large deviation principle for stochastic Burgers type equation with reflection

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