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Large deviations for small noise diffusions with discontinuous statistics
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  • Published: January 2000

Large deviations for small noise diffusions with discontinuous statistics

  • Michelle Boué1,
  • Paul Dupuis2 &
  • Richard S. Ellis3 

Probability Theory and Related Fields volume 116, pages 125–149 (2000)Cite this article

  • 249 Accesses

  • 17 Citations

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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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Authors and Affiliations

  1. Instituto Tecnologico Autonomo de Mexico, Departamento de Matematicas, Rio Hondo #1, Tizapan, San Angel, Mexico, D.F. 01000 Mexico. e-mail: michelle@gauss.rhon.itam.mx, , , , , , MX

    Michelle Boué

  2. Division of Applied Mathematics, Brown University, Providence, RI 02912, USA. e-mail: dupuis@cfm.brown.edu, , , , , , US

    Paul Dupuis

  3. Department of Mathematics and Statistics, University of Massachusetts, Amherst, MA 01003, USA. e-mail: rsellis@math.umass.edu, , , , , , US

    Richard S. Ellis

Authors
  1. Michelle Boué
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  2. Paul Dupuis
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  3. Richard S. Ellis
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Additional information

Received: 26 May 1998 / Revised version: 24 February 1999

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Cite this article

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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  • Issue Date: January 2000

  • DOI: https://doi.org/10.1007/PL00008720

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  • Mathematics Subject Classification (1991): Primary 60F10; Secondary 60J60, 60H10, 93E99
  • Key words and phrases: Large deviations – Small noise diffusions – Discontinuous statistics
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