Large deviation of diffusion processes with discontinuous drift and their occupation times

Citation
Ts. Chiang et Sj. Sheu, Large deviation of diffusion processes with discontinuous drift and their occupation times, ANN PROBAB, 28(1), 2000, pp. 140-165
Citations number
22
Categorie Soggetti
Mathematics
Journal title
ANNALS OF PROBABILITY
ISSN journal
00911798 → ACNP
Volume
28
Issue
1
Year of publication
2000
Pages
140 - 165
Database
ISI
SICI code
0091-1798(200001)28:1<140:LDODPW>2.0.ZU;2-R
Abstract
where b is smooth except possibly along the hyperplane x(1) = 0, we shall c onsider the large deviation principle for the law of the solution diffusion process and its occupation time as epsilon --> 0. In other words, we consi der P(\\X-epsilon - phi\\ < delta, \\u(epsilon) - psi\\ < delta) where u(ep silon)(t) and psi(t) are the occupation times of XE and cp in the positive half space {x epsilon R-d: x(1) > 0}, respectively. As a consequence, an un ified approach of the lower level large deviation principle for the law of X-epsilon(.) can be obtained.