Large deviation principle of SDEs with non-Lipschitzian coefficients under localized conditions

2014/04/05 by Hu, Yunjiao, Lan, Guangqiang
#60F10 #60H10 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1404.1481

Abstract

Localized sufficient conditions for the large deviation principle of the given stochastic differential equations will be presented for stochastic differential equations with non-Lipschitzian and time-inhomogeneous coefficients, which is weaker than those relevant conditions existing in the literature. We consider at first the large deviation principle when ∫₀^tsup_x∈ℝ^d||σ(s,x)||\vee|b(s,x)|ds=:C_t

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