The freidlin-wentzell LDP with rapidly growing coefficients

Pavel Chigansky; Robert Liptser

doi:10.1142/9789812770639_0007

The freidlin-wentzell LDP with rapidly growing coefficients

Pavel Chigansky, Robert Liptser^*

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

The Large Deviations Principle (LDP) is verified for a homogeneous diffusion process whose coefficients are locally Lipschitz functions with super linear growth. It is assumed that the drift is directed towards the origin and the growth rates of the drift and diffusion terms are properly balanced. Nonsingularity of the diffusion matrix is not required.

Original language	English
Title of host publication	Stochastic Differential Equations
Subtitle of host publication	Theory And Applications - A Volume In Honor Of Professor Boris L Rozovskii
Publisher	World Scientific Publishing Co.
Pages	197-219
Number of pages	23
ISBN (Electronic)	9789812770639
DOIs	https://doi.org/10.1142/9789812770639_0007
State	Published - 1 Jan 2007
Externally published	Yes

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Publisher Copyright:
© 2007 by World Scientific Publishing Co. Pte. Ltd.

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The freidlin-wentzell LDP with rapidly growing coefficients

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