Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients

Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients

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摘要 We study the large deviation principle of stochastic differential equations with non-Lipschitzian and non-homogeneous coefficients. We consider at first the large deviation principle when the coefficients σ and b are bounded, then we generalize the conclusion to unbounded case by using bounded approximation program. Our results are generalization of S. Fang-T. Zhang＇s results. We study the large deviation principle of stochastic differential equations with non-Lipschitzian and non-homogeneous coefficients. We consider at first the large deviation principle when the coefficients σ and b are bounded, then we generalize the conclusion to unbounded case by using bounded approximation program. Our results are generalization of S. Fang-T. Zhang＇s results.

作者 Guangqiang LAN

机构地区 School of Science

出处《Frontiers of Mathematics in China》 SCIE CSCD 2013年第6期1307-1321,共15页 中国高等学校学术文摘·数学（英文）

关键词 Stochastic differential equation non-Lipschitzian large deviation principle Stochastic differential equation, non-Lipschitzian, large deviation principle

分类号 O211.6 [理学—概率论与数理统计] O175.1 [理学—基础数学]

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Frontiers of Mathematics in China

2013年第6期

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Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients

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