Large deviation principle for one-dimensional SDEs with discontinuous coefficients

Published 13 Jul 2016 in math.PR | (1607.03614v1)

Abstract: We establish the large deviation principle for solutions of one-dimensional SDEs with discontinuous coefficients. The main statement is formulated in a form similar to the classical Wentzel--Freidlin theorem, but under the considerably weaker assumption that the coefficients have no discontinuities of the second kind.

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