Large deviation principle for Reflected Stochastic Differential Equations driven by G-Brownian motion in non-convex domains

Abdoulaye Soumana Hima and Ibrahim Dakaou

Statistics & Probability Letters, 2023, vol. 193, issue C

Abstract: In this paper, we establish a large deviation principle for the solution of Reflected Stochastic Differential Equations driven by G-Brownian motion in non-convex domains. Moreover, we prove that the solution converges to the solution of a deterministic Skorohod equation.

Keywords: Large deviations; Skorohod problem; G-Brownian motion; Stochastic differential equations; Non-convex reflecting boundaries (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2022.109707

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