General Large Deviations and Functional Iterated Logarithm Law for Multivalued Stochastic Differential Equations

Jiagang Ren (), Jing Wu () and Hua Zhang ()
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Jiagang Ren: Sun Yat-Sen University
Jing Wu: Sun Yat-Sen University
Hua Zhang: Jiangxi University of Finance and Economics

Journal of Theoretical Probability, 2015, vol. 28, issue 2, 550-586

Abstract: Abstract In this paper, we prove a large deviation principle of Freidlin–Wentzell type for multivalued stochastic differential equations (MSDEs) that is a little more general than the results obatined by Ren et al. (J Theor Prob 23:1142–1156, 2010). As an application, we derive a functional iterated logarithm law for the solutions of MSDEs.

Keywords: Multivalued stochastic differential equation; Maximal monotone operator; Large deviation principle; Non-Lipschitz; Iterated logarithm law (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10959-013-0531-y

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