Large deviations for stochastic differential equations driven by G-Brownian motion

Fuqing Gao and Hui Jiang

Stochastic Processes and their Applications, 2010, vol. 120, issue 11, 2212-2240

Abstract: A joint large deviation principle for G-Brownian motion and its quadratic variation process is presented. The rate function is not a quadratic form due to quadratic variation uncertainty. A large deviation principle for stochastic differential equations driven by G-Brownian motion is also established.

Keywords: Large; deviations; G-Brownian; motion; G-stochastic; differential; equation (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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