Théorèmes limite pour les systèmes linéaires a coefficient markoviens. (Limit theorems for linear systems with Markovian coefficients)
We show a central limit theorem and a law of large deviations for the solutions of linear stochastic differential equations with Markovian coefficients under weak hypothesis. These results are obtained in the general set up of Markov multiplicative processes. They can thus be applied, for instance, to the derivative of a stochastic flow on a compact manifold and to the product of random matrices with Markovian dependence.
large deviations for solutions of linear stochastic differential equations
scientific article; zbMATH DE number 4020122
scientific article