Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients

doi:10.1007/s11464-013-0318-6

Front Math Chin

2013, Vol. 8

Issue (6) : 1307-1321 https://doi.org/10.1007/s11464-013-0318-6

RESEARCH ARTICLE

Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients

Guangqiang LAN(

)

School of Science, Beijing University of Chemical Technology, Beijing 100029, China

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Abstract

We study the large deviation principle of stochastic differential equations with non-Lipschitzian and non-homogeneous coefficients. We consider at first the large deviation principle when the coefficients σ and b are bounded, then we generalize the conclusion to unbounded case by using bounded approximation program. Our results are generalization of S. Fang-T. Zhang’s results.

Keywords Stochastic differential equation non-Lipschitzian large deviation principle

Corresponding Author(s): LAN Guangqiang,Email:langq@mail.buct.edu.cn

Issue Date: 01 December 2013

Cite this article:

Guangqiang LAN. Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients[J]. Front Math Chin, 2013, 8(6): 1307-1321.

URL:

https://academic.hep.com.cn/fmc/EN/10.1007/s11464-013-0318-6
https://academic.hep.com.cn/fmc/EN/Y2013/V8/I6/1307

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