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Chinese Annals of Mathematics, Series B

, Volume 40, Issue 2, pp 285–308 | Cite as

On Uniform Large Deviations Principle for Multi-valued SDEs via the Viscosity Solution Approach

  • Jiagang RenEmail author
  • Jing Wu
Article
  • 18 Downloads

Abstract

This paper deals with the uniform large deviations for multivalued stochastic differential equations (MSDEs for short) by applying a stability result of the viscosity solutions of second order Hamilton-Jacobi-Belleman equations with multivalued operators. Moreover, the large deviation principle is uniform in time and in starting point.

Keywords

Multivalued stochastic differential equation Large deviation principle Viscosity solution Exponential tightness Laplace limit 

2000 MR Subject Classification

60H10 60F10 49L25 

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Notes

Acknowledgement

The authors are very grateful to the referees for the valuable comments.

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Copyright information

© Fudan University and Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.School of MathematicsSun Yat-Sen UniversityGuangzhouChina

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