A variational representation and large deviations for functionals of G-Brownian motion

Published 20 Apr 2012 in math.PR | (1204.4525v1)

Abstract: A variational representation for functionals of G-Brownian motion is established by a finite-dimensional approximate technique. As an application of the variational representation, we obtain a large deviation principle for stochastic flows driven by G-Brownian motion.

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Authors (1)

Fuqing Gao

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