Large Deviations for Past-Dependent Recursions
classification
🧮 math.PR
keywords
largepast-dependentrecursionsasymptoticscasedefineddeviationdeviations
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The Large Deviation Principle is established for stochastic models defined by past-dependent non linear recursions with small noise. In the Markov case we use the result to obtain an explicit expression for the asymptotics of exit time.
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