Large deviation principle for diffusion processes under a sublinear expectation

被引:0
作者
ZengJing Chen
Jie Xiong
机构
[1] Shandong University,School of Mathematics
[2] Ajou University,Department of Financial Engineering
[3] University of Macau,Department of Mathematics
[4] University of Tennessee,Department of Mathematics
来源
Science China Mathematics | 2012年 / 55卷
关键词
large deviation principle; backward stochastic differential equation; -expectation; ambiguity; 60F10; 60H10;
D O I
暂无
中图分类号
学科分类号
摘要
We represent the exponential moment of the Brownian functionals under a nonlinear expectation according to the solution to a backward stochastic differential equation. As an application, we establish a large deviation principle of the Freidlin and Wentzell type under the corresponding nonlinear probability for diffusion processes with a small diffusion coefficient.
引用
收藏
页码:2205 / 2216
页数:11
相关论文
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