A unified approach to the large deviations for small perturbations of random evolution equations期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

首页 | 本学科首页

官方微博 | 高级检索

按检索

A unified approach to the large deviations for small perturbations of random evolution equations

Authors:

Yijun Hu

Institution:

(1) Department of Mathematics, Wuhan University, 430072 Wuhan, China

Abstract:

LetX ^ɛ = {X ^ɛ (t ; 0 ⩽t ⩽ 1 } (ɛ > 0) be the processes governed by the following stochastic differential equations:

$dX^\varepsilon (t) = \sqrt \varepsilon \sigma (X^\varepsilon (t))dB(t) + b(X^\varepsilon (t),\nu (t))dt,$

wherev(t) is a random process independent of the Brownian motionB(·). Some large deviation (LD) properties of { (X ^ɛ, ν(.)); ɛ > 0} are proved. For a particular case, an explicit representation of the rate function is also given, which solves a problem posed by Eizenberg and Freidlin. In the meantime, an abstract LD theorem is obtained. Project supported by the National Natural Science Foundation of China and the State Education Commission Ph. D. Station Foundation.

Keywords:

large deviations random evolution equations small perturbations

本文献已被 SpringerLink 等数据库收录！

设为首页 | 免责声明 | 关于勤云 | 加入收藏