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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2002 Volume 47, Issue 4, Pages 772–780 (Mi tvp3781)

Short Communications

On sde and semigroup approximations and large deviations

A. Yu. Veretennikov

A. A. Kharkevich Institute for Information Transmission Problems, Russian Academy of Sciences

Abstract: Sufficient conditions are established under which Legendre transformations of a rate function for a solution of a stochastic differential equation (SDE) on a finite-dimensional torus and its Euler approximation scheme are close, and a bound for their difference is provided.

Keywords: stochastic differential equations, approximate solution, large deviation, positive operators.

Received: 29.11.2001

DOI: 10.4213/tvp3781


 English version:
Theory of Probability and its Applications, 2003, 47:4, 733–741

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