Communications of the Korean Mathematical Society (대한수학회논문집)

Korean Mathematical Society (대한수학회)
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LARGE DEVIATION PRINCIPLE FOR SOLUTIONS TO SDE DRIVEN BY MARTINGALE MEASURE

  • Published : 2006.07.01
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Abstract

We consider a type of large deviation Principle(LDP) using Freidlin-Wentzell exponential estimates for the solutions to perturbed stochastic differential equations(SDEs) driven by Martingale measure(Gaussian noise). We are using exponential tail estimates and exit probability of a diffusion process. Referring to Freidlin-Wentzell inequality, we want to show another approach to get LDP for the solutions to SDEs.

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References

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