首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Large deviations for the empirical measure of a diffusion via weak convergence methods
Authors:Paul Dupuis  David Lipshutz
Institution: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!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号