Large deviation principle for stochastic equations with local time. (English) Zbl 1224.60141

Krykun, Ivan H.

Theory Stoch. Process. 15, No. 2, 140-155 (2009).

Summary: The large deviation principle for solutions of one-dimensional equations under local time is proved. An explicit form for the rate function is obtained. We also consider the large deviations principle for solutions of Itô’s stochastic equations with discontinuous coefficients.

MSC:

60H10	Stochastic ordinary differential equations (aspects of stochastic analysis)
60H20	Stochastic integral equations
60F10	Large deviations

Keywords:

stochastic equation; local time; large deviations principle