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    Large Deviations for a Class of Anticipating Stochastic Differential Equations

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    NualartD_AP_20(4)1902.pdf (1.817Mb)
    Issue Date
    1992-10-02
    Author
    Millet, A.
    Nualart, David
    Sanz, Marta
    Publisher
    Institute of Mathematical Statistics (IMS)
    Type
    Article
    Article Version
    Scholarly/refereed, publisher version
    Metadata
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    Abstract
    Consider the family of perturbed stochastic differential equations on Rd, Xεt=Xε0+ε√∫t0σ(Xεs)∘dWs+∫t0b(Xεs)ds, ε>0, defined on the canonical space associated with the standard k-dimensional Wiener process W. We assume that {Xε0,ε>0} is a family of random vectors not necessarily adapted and that the stochastic integral is a generalized Stratonovich integral. In this paper we prove large deviations estimates for the laws of {Xε.,ε>0}, under some hypotheses on the family of initial conditions {Xε0,ε>0}.
    Description
    This is the published version, also available here: http://dx.doi.org/10.1214/aop/1176989535.
    URI
    http://hdl.handle.net/1808/17058
    DOI
    https://doi.org/10.1214/aop/1176989535
    Collections
    • Mathematics Scholarly Works [282]
    Citation
    Millet, A.; Nualart, D.; Sanz, M. Large Deviations for a Class of Anticipating Stochastic Differential Equations. Ann. Probab. 20 (1992), no. 4, 1902--1931. http://dx.doi.org/10.1214/aop/1176989535.

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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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