数学物理学报 ›› 2009, Vol. 29 ›› Issue (4): 1074-1083.

• 论文 • 上一篇    下一篇

半鞅非Lipschitz系数随机微分方程解的大偏差

  

  1. (安徽工程科技学院 应用数理系, 安徽 芜湖 241000)
  • 收稿日期:2007-11-27 修回日期:2008-10-24 出版日期:2009-08-25 发布日期:2009-08-25
  • 基金资助:

    国家973项目(2007CB814901)、国家自然科学基金(10826098)和安徽省自然科学基金资助

Large Deviations for |Solutions to Stochastic Differential Equations Driven by Semimartingale with Non-Lipschitz Coefficients

  1. (Department of Applied Mathematics and Physics, Anhui University of Technology and Science, Anhui Wuhu, 241000)
  • Received:2007-11-27 Revised:2008-10-24 Online:2009-08-25 Published:2009-08-25
  • Supported by:

    国家973项目(2007CB814901)、国家自然科学基金(10826098)和安徽省自然科学基金资助

摘要:

建立了半鞅非Lipschitz系数随机微分方程, 研究了Freidlin-Wentzell型大偏差原理.

关键词: 随机微分方程, 半鞅, Gronwall引理, 非Lipschitz条件, 大偏差

Abstract:

In this paper, a class of stochastic differential equations (SDEs) driven by semimartingale with non-Lipschitz coefficients is established.   A  large deviation principle of Freidlin-Wentzell type is investigated.

Key words: Stochastic differential equations, Semimartingale, Gronwall lemma, Non-Lipschitz conditions, Large deviation

中图分类号: 

  • 60H20