Large deviations for stochastic differential equations driven by G-Brownian motion

A joint large deviation principle for G-Brownian motion and its quadratic variation process is presented. The rate function is not a quadratic form due to quadratic variation uncertainty. A large deviation principle for stochastic differential equations driven by G-Brownian motion is also established.

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Year of publication:	2010
Authors:	Gao, Fuqing ; Jiang, Hui
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 11, p. 2212-2240
Publisher:	Elsevier
Keywords:	Large deviations G-Brownian motion G-stochastic differential equation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875068