Action Functional for a Diffusion Process with Discontinuous Drift

DOI10.1137/1137105zbMath0788.60094OpenAlexW2011790965MaRDI QIDQ4030702

Sergei L. Leonov, Alexander Korostelev

Publication date: 1 April 1993

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1137105

zbMATH Keywords

stochastic differential equationsaction functionalsmall random perturbations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

Related Items (3)

Large deviation of diffusion processes with discontinuous drift and their occupation times. ⋮ Large deviations for Markov processes with discontinuous statistics. II: Random walks ⋮ Large deviations for a simple closed queueing model

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