Large deviation principles and Malliavin derivative for mean reflected stochastic differential equations

2023/03/24 by Chen, Ping, Zhai, Jianliang
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2303.13834

Abstract

In this paper, we consider a class of reflected stochastic differential equations for which the constraint is not on the paths of the solution but on its law. We establish a small noise large deviation principle, a large deviation for short time and the Malliavin derivative. To prove large deviation principles, a sufficient condition for the weak convergence method, which is suitable for Mckean-Vlasov stochastic differential equation, plays an important role.

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