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Large Deviation Principle for solutions to SDE driven by martingale measure

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Abstract

We consider a type of large deviation principle(LDP)using Freidlin-Wentzell exponential estimates for the solutions toperturbed stochastic differential equations(SDEs) driven byMartingale measure(Gaussian noise). We are using exponential tailestimates and exit probability of a diffusion process. Referringto Freidlin- Wentzell inequality, we want to show another approachto get LDP for the solutions to SDEs.

참고문헌 (9)

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  2. "Uniform largedeviations for parabolic SPDEs and applications" (1997)
  3. "Large Deviation Principle forDiffusion Processes in a Conuclear Space" (2005)
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  5. "Large deviations for a class of stochastic partial differential equations" (1996)
  6. "Largedeviation principle for a stochastic heat equation" (2003)
  7. "Exponential Tail estimates forinfinite- dimensional stochastic convolutions" (1992)
  8. "Large deviation principle for stochasticevolution equations" (1994)
  9. "An introduction to stochasticpartial differential equations" (1986)

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