Large deviations for regime-switching diffusions with infinite delay

Ya Wang, Fuke Wu and Chao Zhu

Stochastic Processes and their Applications, 2024, vol. 176, issue C

Abstract: Focusing on a class of regime-switching functional diffusion processes with infinite delay, a Freidlin–Wentzell type large deviations principle (LDP) is established by using an extended contraction principle and an exponential approximation argument under a local one-side Lipschitz condition. The result is new even for functional diffusion processes with infinite delay without regime-switching. Several interesting examples are given to illustrate our results.

Keywords: Regime-switching functional diffusion process; Infinite delay; Large deviation principle; Stochastic gronwall lemma; Local one-sided Lipschitz condition (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spa.2024.104418

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