Large Deviations for Multi-valued Stochastic Differential Equations

Details Large Deviations for Multi-valued Stochastic Differential Equations Large Deviations for Multi-valued Stochastic Differential Equations

2009-12-29

arxiv.org/abs/0912.5271v1

Mathematics

Probability

12 pages

Scientific paper

We prove a large deviation principle of Freidlin-Wentzell's type for the
multivalued stochastic differential equations with monotone drifts, which in
particular contains a class of SDEs with reflection in a convex domain.

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