Large deviations for the empirical measure of a diffusion via weak convergence methods |
| |
Authors: | Paul Dupuis David Lipshutz |
| |
Affiliation: | Division of Applied Mathematics, Brown University, Providence, RI 02912, USA |
| |
Abstract: | We consider the large deviation principle for the empirical measure of a diffusion in Euclidean space, which was first established by Donsker and Varadhan. We employ a weak convergence approach and obtain a characterization for the rate function that is dual to the one obtained by Donsker and Varadhan, and which allows us to evaluate the variational form of the rate function for both reversible and nonreversible diffusions. |
| |
Keywords: | 60F10 60H10 60J60 Diffusion Empirical measure Large deviations Weak convergence method |
本文献已被 ScienceDirect 等数据库收录! |