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Large Deviations for Double Itô Equations

  • Victor Pérez-Abreu
  • Constantin Tudor
Chapter
Part of the Trends in Mathematics book series (TM)

Abstract

A large deviations principle is proved for double integro-differential Itô equations. The proof is based on an approximation for multiple stochastic integrals with random integrand by multiple Wiener-Itô integrals with deterministic integrand.

Keywords

Stochastic Differential Equation Large Deviation Principle Stochastic Integral Volterra Equation Predictable Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2001

Authors and Affiliations

  • Victor Pérez-Abreu
    • 1
  • Constantin Tudor
    • 2
  1. 1.Centro de InvestigaciÓn en Matemáticas, A.C. CIMATGtoMexico
  2. 2.Department of MathematicsUniversity of Bucharest and CIMATBucharestRomania

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