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Large deviations for regime-switching diffusions with infinite delay

Author

Listed:
  • Wang, Ya
  • Wu, Fuke
  • Zhu, Chao

Abstract

Focusing on a class of regime-switching functional diffusion processes with infinite delay, a Freidlin–Wentzell type large deviations principle (LDP) is established by using an extended contraction principle and an exponential approximation argument under a local one-side Lipschitz condition. The result is new even for functional diffusion processes with infinite delay without regime-switching. Several interesting examples are given to illustrate our results.

Suggested Citation

  • Wang, Ya & Wu, Fuke & Zhu, Chao, 2024. "Large deviations for regime-switching diffusions with infinite delay," Stochastic Processes and their Applications, Elsevier, vol. 176(C).
    • Handle: RePEc:eee:spapps:v:176:y:2024:i:c:s0304414924001248
    DOI: 10.1016/j.spa.2024.104418
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    References listed on IDEAS

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    1. Wang, Ya & Wu, Fuke & Yin, George & Zhu, Chao, 2022. "Stochastic functional differential equations with infinite delay under non-Lipschitz coefficients: Existence and uniqueness, Markov property, ergodicity, and asymptotic log-Harnack inequality," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 1-38.
    2. Huang, Gang & Mandjes, Michel & Spreij, Peter, 2016. "Large deviations for Markov-modulated diffusion processes with rapid switching," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1785-1818.
    3. Hu, Yi-Jun, 1997. "A large deviation principle for small perturbations of random evolution equations in Hölder norm," Stochastic Processes and their Applications, Elsevier, vol. 68(1), pages 83-99, May.
    4. Nguyen, Dang H. & Nguyen, Nhu N. & Yin, George, 2021. "Stochastic functional Kolmogorov equations, I: Persistence," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 319-364.
    Full references (including those not matched with items on IDEAS)

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