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Action functional for diffusions in discontinuous media
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  • Published: September 1993

Action functional for diffusions in discontinuous media

  • A. P. Korostelev1 &
  • S. L. Leonov1 

Probability Theory and Related Fields volume 94, pages 317–333 (1993)Cite this article

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  • 10 Citations

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Summary

The action functional, i.e. the rate function governing the large deviations is obtained for a family of stochastic processes with discontinuous drift and small diffusion. A well-known method of continuous mapping is developed which proves to be efficient in a so called ‘stable case’.

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Authors and Affiliations

  1. Institute for Systems Analysis, Russian Academy of Sciences, Prospekt 60-Let Oktyabrya 9, 117312, Moscow, Russia

    A. P. Korostelev & S. L. Leonov

Authors
  1. A. P. Korostelev
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  2. S. L. Leonov
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Cite this article

Korostelev, A.P., Leonov, S.L. Action functional for diffusions in discontinuous media. Probab. Th. Rel. Fields 94, 317–333 (1993). https://doi.org/10.1007/BF01199247

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  • Received: 24 April 1991

  • Revised: 20 April 1992

  • Issue Date: September 1993

  • DOI: https://doi.org/10.1007/BF01199247

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Mathematics Subject Classification

  • 60 F 10
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