Large deviations for stochastic differential equations driven by \(G\)-Brownian motion

DOI10.1016/j.spa.2010.06.007zbMath1204.60050OpenAlexW2011990171MaRDI QIDQ607275

Hui Jiang, Fu Qing Gao

Publication date: 19 November 2010

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

Full work available at URL: https://doi.org/10.1016/j.spa.2010.06.007

zbMATH Keywords

large deviations\(G\)-Brownian motion\(G\)-stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Large deviations (60F10)

Related Items (19)

Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths ⋮ A law of large numbers under the nonlinear expectation ⋮ Approximation Theorem for Stochastic Differential Equations Driven by G-Brownian Motion ⋮ How small are the increments of \(G\)-Brownian motion ⋮ Large deviation principle for diffusion processes under a sublinear expectation ⋮ The support of the solution for stochastic differential equations driven by \(G\)-Brownian motion ⋮ Large deviation principle for linear processes generated by real stationary sequences under the sub-linear expectation ⋮ Complete moment convergence and \(L_q\) convergence for AANA random variables under sub-linear expectations ⋮ Asymptotic estimates for the solution of stochastic differential equations driven By G-Brownian motion ⋮ An upper bound of large deviations for capacities ⋮ How big are the increments of \(G\)-Brownian motion? ⋮ Stopping times and related Itô's calculus with \(G\)-Brownian motion ⋮ Exponential stability for stochastic differential equation driven by G-Brownian motion ⋮ Stabilization of stochastic differential equations driven by G-Lévy process with discrete-time feedback control ⋮ Large deviations for backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ Moderate deviations principle for independent random variables under sublinear expectations ⋮ A Weighted Central Limit Theorem Under Sublinear Expectations ⋮ The modulus of continuity theorem for G-Brownian motion ⋮ Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
• On general minimax theorems
• Large deviations of the sample mean in general vector spaces
• Large deviations and the Strassen theorem in Hölder norm
• Large deviations for stochastic flows and their applications
• A function space large deviation principle for certain stochastic integrals
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Some Asymptotic Formulas for Wiener Integrals

This page was built for publication: Large deviations for stochastic differential equations driven by \(G\)-Brownian motion