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An extension of the ventcel- freidlin large deviation principle*

 

作者: Nigel J. Cutland,  

 

期刊: Stochastics  （Taylor Available online 1988）
卷期: Volume 24, issue 2  

页码: 121-149

 

ISSN:0090-9491

 

年代: 1988

 

DOI:10.1080/17442508808833512

 

出版商: Gordon and Breach Science Publishers, Inc

 

关键词: Large deviations;nonstandard analysis;Loeb measure;Ventcel-Freidlin theory

 

数据来源: Taylor

 

摘要:

The large deviation principle obtained by Ventcel-Freidlin for the measures associated with time homogeneous Markov diffusions is extended to the measures given by non-homogeneous functional stochastic differential equations. The paper uses Keisler's infinitestimal technique for solving SDE's, together with a natural nonstrandard representation of action that simplifies calculations

 

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