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

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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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