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Large deviation principle for diffusion processes under a sublinear expectation |
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| Authors: | ZengJing Chen Jie Xiong |
| Institution: | 1. School of Mathematics, Shandong University, Jinan, 250100, China 2. Department of Financial Engineering, Ajou University, Suwon, 443749, Korea 3. Department of Mathematics, University of Macau, PO Box 3001, Macau, China 4. Department of Mathematics, University of Tennessee, Knoxville, TN, 37996-1300, USA |
| Abstract: | We represent the exponential moment of the Brownian functionals under a nonlinear expectation according to the solution to a backward stochastic differential equation. As an application, we establish a large deviation principle of the Freidlin and Wentzell type under the corresponding nonlinear probability for diffusion processes with a small diffusion coefficient. |
| Keywords: | large deviation principle backward stochastic differential equation g-expectation ambiguity |
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