A variational representation and large deviations for functionals of G-Brownian motion

Details A variational representation and large deviations for functionals of G-Brownian motion A variational representation and large deviations for functionals of G-Brownian motion

2012-04-20

arxiv.org/abs/1204.4525v1

Mathematics

Probability

The variational representation was announced at The 7th Workshop Markov Processes and Related Topics, Beijing Normal Universit

Scientific paper

A variational representation for functionals of G-Brownian motion is
established by a finite-dimensional approximate technique. As an application of
the variational representation, we obtain a large deviation principle for
stochastic flows driven by G-Brownian motion.

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