Large deviation principle for one-dimensional SDEs with discontinuous coefficients
Volume 3, Issue 2 (2016), pp. 145–164
Pub. online: 1 July 2016
Type: Research Article
Open Access
Open Access
Received
15 June 2016
15 June 2016
Accepted
15 June 2016
15 June 2016
Published
1 July 2016
1 July 2016
Abstract
We establish the large deviation principle for solutions of one-dimensional SDEs with discontinuous coefficients. The main statement is formulated in a form similar to the classical Wentzel–Freidlin theorem, but under the considerably weaker assumption that the coefficients have no discontinuities of the second kind.
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