Logarithmic estimates for the density of an anticipating stochastic differential equation

Marta Sanz-Solé and Mònica Sarrà

Stochastic Processes and their Applications, 1999, vol. 79, issue 2, 301-321

Abstract: In this paper we study Varadhan's estimates for the density of a family of solutions of anticipating stochastic differential equations driven by a white noise which is perturbed by a small parameter [var epsilon]. The anticipating input is given by the initial condition and the stochastic integral term is of Stratonovich type.

Keywords: Anticipating; calculus; Large; deviations; Malliavin; calculus; Anticipating; stochastic; differential; equations (search for similar items in EconPapers)
Date: 1999
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