LARGE DEVIATIONS FOR A CLASS OF ANTICIPATING STOCHASTIC DIFFERENTIAL-EQUATIONS
成果类型：
Article
署名作者：
MILLET, A; NUALART, D; SANZ, M
署名单位：
University of Barcelona
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176989535
发表日期：
1992
页码：
1902-1931
关键词：
摘要：
Consider the family of perturbed stochastic differential equations on R(d), X(t)e = X0e = square-root e integral-0/t sigma(X(s)e) . dW(s) + integral-0/t b(X(s)e) ds, e > 0, defined on the canonical space associated with the standard k-dimensional Wiener process W. We assume that {X0e, e > 0} is a family of random vectors not necessarily adapted and that the stochastic integral is a generalized Stratonovich integral. In this paper we prove large deviations estimates for the laws of {X.e, e > 0}, under some hypotheses on the family of initial conditions {X0e, e > 0}.