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Diffusion processes on graphs: stochastic differential equations, large deviation principle
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  • Published: February 2000

Diffusion processes on graphs: stochastic differential equations, large deviation principle

  • Mark Freidlin1 &
  • Shuenn-Jyi Sheu2 

Probability Theory and Related Fields volume 116, pages 181–220 (2000)Cite this article

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Abstract.

Ito's rule is established for the diffusion processes on the graphs. We also consider a family of diffusions processes with small noise on a graph. Large deviation principle is proved for these diffusion processes and their local times at the vertices.

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Authors and Affiliations

  1. Department of Mathematics, University of Maryland, College Park, Maryland 20742, USA, , , , , , US

    Mark Freidlin

  2. Institute of Mathematics, Academia Sinica, Nankang, Taipei, Taiwan 11529, ROC. e-mail: sheusj@math.sinica.edu.tw, , , , , , CN

    Shuenn-Jyi Sheu

Authors
  1. Mark Freidlin
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  2. Shuenn-Jyi Sheu
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Received: 12 February 1997 / Revised version: 3 March 1999

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Freidlin, M., Sheu, SJ. Diffusion processes on graphs: stochastic differential equations, large deviation principle. Probab Theory Relat Fields 116, 181–220 (2000). https://doi.org/10.1007/PL00008726

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  • Issue Date: February 2000

  • DOI: https://doi.org/10.1007/PL00008726

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  • Mathematics Subject Classification (1991): Primary 60J60; Secondary 60H10, 60J55, 60F10
  • Key words and phrases: Diffusions on graphs – Local time – Small random perturbation – Large deviations
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