Large deviations for perturbed reflected diffusion processes

DOI10.1080/17442500801981084zbMath1187.60018OpenAlexW2001445857MaRDI QIDQ5190570

Li Jun Bo, Tu-Sheng Zhang

Publication date: 18 March 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500801981084

zbMATH Keywords

large deviationsperturbed diffusion processesuniform Freidlin-Ventzell estimates

Mathematics Subject Classification ID

Diffusion processes (60J60) Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (5)

Large deviations for neutral stochastic functional differential equations ⋮ Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process ⋮ Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ Strong convergence of Euler-Maruyama schemes for doubly perturbed McKean-Vlasov stochastic differential equations

Cites Work

• Large deviations for a class of anticipating stochastic differential equations
• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion
• Perturbed Brownian motions
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• Large deviations for stochastic systems with memory
• Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions

This page was built for publication: Large deviations for perturbed reflected diffusion processes