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arxiv: 1607.03614 · v1 · pith:2JVO3TTKnew · submitted 2016-07-13 · 🧮 math.PR

Large deviation principle for one-dimensional SDEs with discontinuous coefficients

classification 🧮 math.PR
keywords coefficientsdeviationdiscontinuouslargeone-dimensionalprinciplesdesassumption
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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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