Abstract
We represent the exponential moment of the Brownian functionals under a nonlinear expectation according to the solution to a backward stochastic differential equation. As an application, we establish a large deviation principle of the Freidlin and Wentzell type under the corresponding nonlinear probability for diffusion processes with a small diffusion coefficient.
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Chen, Z., Xiong, J. Large deviation principle for diffusion processes under a sublinear expectation. Sci. China Math. 55, 2205–2216 (2012). https://doi.org/10.1007/s11425-012-4518-4
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DOI: https://doi.org/10.1007/s11425-012-4518-4