Freidlin-Wentzell's large deviations for homeomorphism flows of non-Lipschitz SDEs

Jiagang Ren; Xicheng Zhang

doi:10.1016/j.bulsci.2004.12.005

Freidlin-Wentzell's large deviations for homeomorphism flows of non-Lipschitz SDEs

Jiagang Ren, Xicheng Zhang^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

43 Citations (Scopus)

Abstract

We prove a Freidlin-Wentzell large deviation principle for multi-dimensional stochastic differential equations with non-Lipschitz coefficients and apply it to the Brownian motion on the diffeomorphism group of the disc constructed recently by Airault, Malliavin and Thalmaier.

Original language	English
Pages (from-to)	643-655
Number of pages	13
Journal	Bulletin des Sciences Mathematiques
Volume	129
Issue number	8
DOIs	https://doi.org/10.1016/j.bulsci.2004.12.005
Publication status	Published - Sept 2005
Externally published	Yes

Keywords

Freidlin-Wentzell large deviation
Homeomorphism flows
Non-Lipschitz SDE

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10.1016/j.bulsci.2004.12.005

Cite this

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title = "Freidlin-Wentzell's large deviations for homeomorphism flows of non-Lipschitz SDEs",

abstract = "We prove a Freidlin-Wentzell large deviation principle for multi-dimensional stochastic differential equations with non-Lipschitz coefficients and apply it to the Brownian motion on the diffeomorphism group of the disc constructed recently by Airault, Malliavin and Thalmaier.",

keywords = "Freidlin-Wentzell large deviation, Homeomorphism flows, Non-Lipschitz SDE",

author = "Jiagang Ren and Xicheng Zhang",

year = "2005",

month = sep,

doi = "10.1016/j.bulsci.2004.12.005",

language = "English",

volume = "129",

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journal = "Bulletin des Sciences Mathematiques",

issn = "0007-4497",

publisher = "Elsevier Masson s.r.l.",

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T1 - Freidlin-Wentzell's large deviations for homeomorphism flows of non-Lipschitz SDEs

AU - Ren, Jiagang

AU - Zhang, Xicheng

PY - 2005/9

Y1 - 2005/9

N2 - We prove a Freidlin-Wentzell large deviation principle for multi-dimensional stochastic differential equations with non-Lipschitz coefficients and apply it to the Brownian motion on the diffeomorphism group of the disc constructed recently by Airault, Malliavin and Thalmaier.

AB - We prove a Freidlin-Wentzell large deviation principle for multi-dimensional stochastic differential equations with non-Lipschitz coefficients and apply it to the Brownian motion on the diffeomorphism group of the disc constructed recently by Airault, Malliavin and Thalmaier.

KW - Freidlin-Wentzell large deviation

KW - Homeomorphism flows

KW - Non-Lipschitz SDE

UR - https://www.scopus.com/pages/publications/24644487849

U2 - 10.1016/j.bulsci.2004.12.005

DO - 10.1016/j.bulsci.2004.12.005

M3 - Article

AN - SCOPUS:24644487849

SN - 0007-4497

VL - 129

SP - 643

EP - 655

JO - Bulletin des Sciences Mathematiques

JF - Bulletin des Sciences Mathematiques

IS - 8

ER -

Freidlin-Wentzell's large deviations for homeomorphism flows of non-Lipschitz SDEs

Abstract

Keywords

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