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General Large Deviations and Functional Iterated Logarithm Law for Multivalued Stochastic Differential Equations

Author

Listed:
  • Jiagang Ren

    (Sun Yat-Sen University)

  • Jing Wu

    (Sun Yat-Sen University)

  • Hua Zhang

    (Jiangxi University of Finance and Economics)

Abstract

In this paper, we prove a large deviation principle of Freidlin–Wentzell type for multivalued stochastic differential equations (MSDEs) that is a little more general than the results obatined by Ren et al. (J Theor Prob 23:1142–1156, 2010). As an application, we derive a functional iterated logarithm law for the solutions of MSDEs.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:jotpro:v:28:y:2015:i:2:d:10.1007_s10959-013-0531-y
    DOI: 10.1007/s10959-013-0531-y
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    References listed on IDEAS

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    1. 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.
    2. Caramellino, Lucia, 1998. "Strassen's law of the iterated logarithm for diffusion processes for small time," Stochastic Processes and their Applications, Elsevier, vol. 74(1), pages 1-19, May.
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