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Large Deviations for Multivalued Stochastic Differential Equations

Author

Listed:
  • Jiagang Ren

    (Sun Yat-Sen University)

  • Siyan Xu

    (Sun Yat-Sen University)

  • Xicheng Zhang

    (Huazhong University of Science and Technology)

Abstract

We prove a large deviation principle of Freidlin–Wentzell type for multivalued stochastic differential equations with monotone drifts that in particular contain a class of SDEs with reflection in a convex domain.

Suggested Citation

  • Jiagang Ren & Siyan Xu & Xicheng Zhang, 2010. "Large Deviations for Multivalued Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1142-1156, December.
    • Handle: RePEc:spr:jotpro:v:23:y:2010:i:4:d:10.1007_s10959-009-0274-y
    DOI: 10.1007/s10959-009-0274-y
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    References listed on IDEAS

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    1. Xu, Siyan, 2008. "Explicit solutions for multivalued stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2281-2292, October.
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    Cited by:

    1. Jiagang Ren & Jing Wu & Hua Zhang, 2015. "General Large Deviations and Functional Iterated Logarithm Law for Multivalued Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 28(2), pages 550-586, June.

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