Large deviation of diffusion processes with discontinuous drift and their occupation times

• 成果类型: Article
• 署名作者: Chiang, TS; Sheu, SJ
• 署名单位: Academia Sinica - Taiwan
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2000
• 页码: 140-165
• 关键词: markov-processes; statistics; systems

摘要

where b is smooth except possibly along the hyperplane x(1) = 0, we shall consider the large deviation principle for the law of the solution diffusion process and its occupation time as epsilon --> 0. In other words, we consider P(\\X-epsilon - phi\\ < delta, \\u(epsilon) - psi\\ < delta) where u(epsilon)(t) and psi(t) are the occupation times of XE and cp in the positive half space {x epsilon R-d: x(1) > 0}, respectively. As a consequence, an unified approach of the lower level large deviation principle for the law of X-epsilon(.) can be obtained.