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On large deviations for approximations of SDEs
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  • Published: January 2003

On large deviations for approximations of SDEs

Dedicated to the memory of M.A. Krasnosel'skii

  • A. Yu. Veretennikov1 

Probability Theory and Related Fields volume 125, pages 135–152 (2003)Cite this article

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Abstract.

 We establish sufficient conditions under which the rate function for the Euler approximation scheme for a solution of an SDE is close to that for an exact solution.

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Authors and Affiliations

  1. Department of Mathematics, University of Kansas, Lawrence, KS, USA and School of Mathematics, University of Leeds, UK and Institute of Information Transmission Problems, Moscow, Russia. e-mail: veretennikov@math.ukans.edu, , , , , , RU

    A. Yu. Veretennikov

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  1. A. Yu. Veretennikov
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Additional information

Received: 12 September 2001 / Revised version: 5 July 2002 / Published online: 14 November 2002

This work was supported by the projects RFBR 00-01-22000 and INTAS 99-0590.

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Cite this article

Veretennikov, A. On large deviations for approximations of SDEs . Probab Theory Relat Fields 125, 135–152 (2003). https://doi.org/10.1007/s00440-002-0235-1

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  • Issue Date: January 2003

  • DOI: https://doi.org/10.1007/s00440-002-0235-1

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Keywords

  • Exact Solution
  • Rate Function
  • Approximation Scheme
  • Euler Approximation
  • Euler Approximation Scheme
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