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arXiv · 1607.03614

Large deviation principle for one-dimensional SDEs with discontinuous coefficients

Alexei Kulik·Daryna Sobolieva
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Abstract

We establish the large deviation principle for solutions of one-dimensional SDEs with discontinuous coefficients. The main statement is formulated in a form similar to the classical Wentzel--Freidlin theorem, but under the considerably weaker assumption that the coefficients have no discontinuities of the second kind.

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Alexei Kulik, Daryna Sobolieva. 2016-07-13. Large deviation principle for one-dimensional SDEs with discontinuous coefficients. https://doi.org/10.15559/16-vmsta57

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