Large Deviations for Multi-valued Stochastic Differential Equations
classification
🧮 math.PR
keywords
differentialequationslargestochasticclasscontainsconvexdeviation
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We prove a large deviation principle of Freidlin-Wentzell's type for the multivalued stochastic differential equations with monotone drifts, which in particular contains a class of SDEs with reflection in a convex domain.
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