半鞅非Lipschitz系数随机微分方程解的大偏差

Abstract

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

CLC Number:

60H20

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Fei Wei-Yin. Large Deviations for |Solutions to Stochastic Differential Equations Driven by Semimartingale with Non-Lipschitz Coefficients[J].Acta mathematica scientia,Series A, 2009, 29(4): 1074-1083.

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References

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

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