Abstract.
This paper proves the large deviation principle for a class of non-degenerate small noise diffusions with discontinuous drift and with state-dependent diffusion matrix. The proof is based on a variational representation for functionals of strong solutions of stochastic differential equations and on weak convergence methods.
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Received: 26 May 1998 / Revised version: 24 February 1999
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Boué, M., Dupuis, P. & Ellis, R. Large deviations for small noise diffusions with discontinuous statistics. Probab Theory Relat Fields 116, 125–149 (2000). https://doi.org/10.1007/PL00008720
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DOI: https://doi.org/10.1007/PL00008720
- Mathematics Subject Classification (1991): Primary 60F10; Secondary 60J60, 60H10, 93E99
- Key words and phrases: Large deviations – Small noise diffusions – Discontinuous statistics