Large deviation of diffusion processes with discontinuous drift and their occupation times
Chiang, Tzuu-Shuh ; Sheu, Shuenn-Jyi
Ann. Probab., Tome 28 (2000) no. 1, p. 140-165 / Harvested from Project Euclid
For the system of $d$-dim stochastic differential equations, dX^{\varepsilon} (t) = b(X^{\varepsilon}(t)) dt + \varepsilon dW(t), \quad t \in [0, 1] X^{\varepsilon} (0) = x^0 \in R^d where $b$ is smooth except possibly along the hyperplane $x_1 = 0$, we shall consider the large deviation principle for the lawof the solution diffusion process and its occupation time as $\varepsilon\rightarrow0$. In other words, we consider $P(\|X^\varepsilon-\varphi\|<\delta,\|u^{\varepsilon}-\psi\|\<\delta)$ where $u^\varepsilon(t)$ and $\psi(t)$ are the occupation times of $X^\varepsilon$ and $\varphi$ in the positive half space $\{x\in R^d: x_1>0\}$, respectively. As a consequence, an unified approach of the lower level large deviation principle for the law of $X^\varepsilon(\cdot)$ can be obtained.
Publié le : 2000-01-14
Classification:  Ventcel–Friedlin theory,  local time,  Cameron –Martin –Girsanov formula,  large deviation principle,  60J10,  60J05
@article{1019160115,
     author = {Chiang, Tzuu-Shuh and Sheu, Shuenn-Jyi},
     title = {Large deviation of diffusion processes with discontinuous drift
		 and their occupation times},
     journal = {Ann. Probab.},
     volume = {28},
     number = {1},
     year = {2000},
     pages = { 140-165},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1019160115}
}
Chiang, Tzuu-Shuh; Sheu, Shuenn-Jyi. Large deviation of diffusion processes with discontinuous drift
		 and their occupation times. Ann. Probab., Tome 28 (2000) no. 1, pp.  140-165. http://gdmltest.u-ga.fr/item/1019160115/