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LARGE DEVIATION PRINCIPLE FOR SOLUTIONS TO SDE DRIVEN BY MARTINGALE MEASURE
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 Title & Authors
LARGE DEVIATION PRINCIPLE FOR SOLUTIONS TO SDE DRIVEN BY MARTINGALE MEASURE
Cho, Nhan-Sook;
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 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;
 Language
English
 Cited by
 References
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