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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1994 Volume 39, Issue 3, Pages 554–566 (Mi tvp3819)

A theorem on large deviations for one class of diffusion processes

S. Ya. Makhno

Institute of Applied Mathematics and Mechanics, Ukraine National Academy of Sciences

Abstract: In this article we consider stochastic equations with small diffusion and coefficients which depend on a small parameter. We prove the principle of large deviations without the assumption on the existence of limits of the coefficients. Some examples are given.

Keywords: stochastic equations, diffusion process, large deviations.

Received: 26.02.1991


 English version:
Theory of Probability and its Applications, 1994, 39:3, 437–447

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