The local principle of large deviations for solutions of Itô stochastic equations with quick drift
- Authors: Logachov A.V.1
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Affiliations:
- Novosibirsk State University, Siberia State University of Geosystems and Technologies
- Issue: Vol 218, No 1 (2016)
- Pages: 28-38
- Section: Article
- URL: https://journals.rcsi.science/1072-3374/article/view/238161
- DOI: https://doi.org/10.1007/s10958-016-3008-6
- ID: 238161
Cite item
Abstract
The solution of the stochastic equation X(t) = x0 + b∫0tsign(X(s))|X(s)|γds + w(t); where w(t) is the Wiener process, the constant b ≠ 0, and γ ∈ (0; 1]; is considered. The local principle of large deviations for the sequence of processes \( {X}_n(t)=\frac{X(nt)}{n^{\alpha }},\alpha >1/2 \), is proved. The form of the rate function is found.
About the authors
Artem V. Logachov
Novosibirsk State University, Siberia State University of Geosystems and Technologies
Author for correspondence.
Email: omboldovskaya@mail.ru
Russian Federation, Novosibirsk