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Large Deviations for a Class of Anticipating Stochastic Differential Equations
dc.contributor.author | Millet, A. | |
dc.contributor.author | Nualart, David | |
dc.contributor.author | Sanz, Marta | |
dc.date.accessioned | 2015-03-11T21:19:25Z | |
dc.date.available | 2015-03-11T21:19:25Z | |
dc.date.issued | 1992-10-02 | |
dc.identifier.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. | en_US |
dc.identifier.uri | http://hdl.handle.net/1808/17058 | |
dc.description | This is the published version, also available here: http://dx.doi.org/10.1214/aop/1176989535. | en_US |
dc.description.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}. | en_US |
dc.publisher | Institute of Mathematical Statistics (IMS) | en_US |
dc.subject | Large deviations | en_US |
dc.subject | anticipating stochastic differential equations | en_US |
dc.subject | stochastic flows | en_US |
dc.title | Large Deviations for a Class of Anticipating Stochastic Differential Equations | en_US |
dc.type | Article | |
kusw.kuauthor | Nualart, David | |
kusw.kudepartment | Mathematics | en_US |
dc.identifier.doi | 10.1214/aop/1176989535 | |
kusw.oaversion | Scholarly/refereed, publisher version | |
kusw.oapolicy | This item does not meet KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess |