Large Deviations Principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections

Details Large Deviations Principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections Large Deviations Principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections

2010-12-12

arxiv.org/abs/1012.2581v1

Mathematics

Probability

Scientific paper

We establish a Large Deviations Principle for stochastic processes with Lipschitz continuous oblique reflections on regular domains. The rate functional is given as the value function of a control problem and is proved to be good. The proof is based on an original viscosity solution approach. The idea consists in interpreting the probabilities as the solutions of some PDEs, make the logarithmic transform, pass to the limit, and then identify the action functional as the solution of the limiting equation.

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