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Large deviation principle for Reflected Stochastic Differential Equations driven by G-Brownian motion in non-convex domains

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  • Soumana Hima, Abdoulaye
  • Dakaou, Ibrahim

Abstract

In this paper, we establish a large deviation principle for the solution of Reflected Stochastic Differential Equations driven by G-Brownian motion in non-convex domains. Moreover, we prove that the solution converges to the solution of a deterministic Skorohod equation.

Suggested Citation

  • Soumana Hima, Abdoulaye & Dakaou, Ibrahim, 2023. "Large deviation principle for Reflected Stochastic Differential Equations driven by G-Brownian motion in non-convex domains," Statistics & Probability Letters, Elsevier, vol. 193(C).
    • Handle: RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222002206
    DOI: 10.1016/j.spl.2022.109707
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    References listed on IDEAS

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    1. Gao, Fuqing, 2009. "Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3356-3382, October.
    2. Xiaomin Cao, 2014. "An Upper Bound of Large Deviations for Capacities," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-6, June.
    3. Ibrahim Dakaou & Abdoulaye Soumana Hima, 2021. "Large Deviations for Backward Stochastic Differential Equations Driven by G-Brownian Motion," Journal of Theoretical Probability, Springer, vol. 34(2), pages 499-521, June.
    4. Gao, Fuqing & Jiang, Hui, 2010. "Large deviations for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2212-2240, November.
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