Large Deviations for Multivalued Stochastic Differential Equations

Jiagang Ren; Siyan Xu; Xicheng Zhang

doi:10.1007/s10959-009-0274-y

Large Deviations for Multivalued Stochastic Differential Equations

Jiagang Ren, Siyan Xu^*, Xicheng Zhang

^*Corresponding author for this work

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

24 Citations (Scopus)

Abstract

We prove a large deviation principle of Freidlin-Wentzell type for multivalued stochastic differential equations with monotone drifts that in particular contain a class of SDEs with reflection in a convex domain.

Original language	English
Pages (from-to)	1142-1156
Number of pages	15
Journal	Journal of Theoretical Probability
Volume	23
Issue number	4
DOIs	https://doi.org/10.1007/s10959-009-0274-y
Publication status	Published - Dec 2010
Externally published	Yes

Keywords

Large deviation principle
Maximal monotone operator
Multivalued stochastic differential equation

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10.1007/s10959-009-0274-y

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title = "Large Deviations for Multivalued Stochastic Differential Equations",

abstract = "We prove a large deviation principle of Freidlin-Wentzell type for multivalued stochastic differential equations with monotone drifts that in particular contain a class of SDEs with reflection in a convex domain.",

keywords = "Large deviation principle, Maximal monotone operator, Multivalued stochastic differential equation",

author = "Jiagang Ren and Siyan Xu and Xicheng Zhang",

year = "2010",

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doi = "10.1007/s10959-009-0274-y",

language = "English",

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AU - Ren, Jiagang

AU - Xu, Siyan

AU - Zhang, Xicheng

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N2 - We prove a large deviation principle of Freidlin-Wentzell type for multivalued stochastic differential equations with monotone drifts that in particular contain a class of SDEs with reflection in a convex domain.

AB - We prove a large deviation principle of Freidlin-Wentzell type for multivalued stochastic differential equations with monotone drifts that in particular contain a class of SDEs with reflection in a convex domain.

KW - Large deviation principle

KW - Maximal monotone operator

KW - Multivalued stochastic differential equation

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U2 - 10.1007/s10959-009-0274-y

DO - 10.1007/s10959-009-0274-y

M3 - Article

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SP - 1142

EP - 1156

JO - Journal of Theoretical Probability

JF - Journal of Theoretical Probability

IS - 4

ER -

Large Deviations for Multivalued Stochastic Differential Equations

Abstract

Keywords

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