Large Deviations for Multivalued Stochastic Differential Equations

Jiagang Ren (), Siyan Xu () and Xicheng Zhang ()
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Jiagang Ren: Sun Yat-Sen University
Siyan Xu: Sun Yat-Sen University
Xicheng Zhang: Huazhong University of Science and Technology

Journal of Theoretical Probability, 2010, vol. 23, issue 4, 1142-1156

Abstract: Abstract We prove a large deviation principle of Freidlin–Wentzell type for multivalued stochastic differential equations with monotone drifts that in particular contain a class of SDEs with reflection in a convex domain.

Keywords: Multivalued stochastic differential equation; Maximal monotone operator; Large deviation principle; 60H10; 60F10 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10959-009-0274-y

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