Large deviation principle for one-dimensional SDEs with discontinuous coefficients
نویسندگان
چکیده
منابع مشابه
Forward-backward SDEs with Discontinuous Coefficients
In this paper we are interested in the well-posedness of a class of fully coupled forward-backward SDE (FBSDE) in which the forward drift coefficient is allowed to be discontinuous with respect to the backward component of the solution. Such an FBSDE is motivated by a practical issue in regime-switching term structure interest rate models, and the discontinuity makes it beyond any existing fram...
متن کاملA maximum principle for linear elliptic systems with discontinuous coefficients
We prove a maximum principle for linear second order elliptic systems in divergence form with discontinuous coefficients under a suitable condition on the dispersion of the eigenvalues of the coefficients matrix.
متن کاملA large deviation principle with queueing applications
In this paper, we present a large deviation principle for partial sums processes indexed by the half line, which is particularly suited to queueing applications. The large deviation principle is established in a topology that is finer than the topology of uniform convergence on compacts and in which the queueing map is continuous. Consequently, a large deviation principle for steady-state queue...
متن کاملA large deviation principle for Dirichlet posteriors
Let Xk be a sequence of independent and identically distributed random variables taking values in a compact metric space Ω, and consider the problem of estimating the law of X1 in a Bayesian framework. A conjugate family of priors for non-parametric Bayesian inference is the Dirichlet process priors popularized by Ferguson. We prove that if the prior distribution is Dirichlet, then the sequence...
متن کاملLarge deviation principle for enhanced Gaussian processes
We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N . We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hölderor modulus topology, appears as special case. © 2007 Elsevier Masson SAS. All rights reserved. Résumé Nous etudions les princ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Modern Stochastics: Theory and Applications
سال: 2016
ISSN: 2351-6054,2351-6046
DOI: 10.15559/16-vmsta57