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http://dx.doi.org/10.4134/CKMS.2006.21.3.543

LARGE DEVIATION PRINCIPLE FOR SOLUTIONS TO SDE DRIVEN BY MARTINGALE MEASURE  

Cho, Nhan-Sook (Department of General Education Hansung University)
Publication Information
Communications of the Korean Mathematical Society / v.21, no.3, 2006 , pp. 543-558 More about this Journal
Abstract
We consider a type of large deviation Principle(LDP) using Freidlin-Wentzell exponential estimates for the solutions to perturbed stochastic differential equations(SDEs) driven by Martingale measure(Gaussian noise). We are using exponential tail estimates and exit probability of a diffusion process. Referring to Freidlin-Wentzell inequality, we want to show another approach to get LDP for the solutions to SDEs.
Keywords
large deviation; mild solution of SPDE; martingale measure;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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