{
  "id": "1212.3223",
  "version": "v3",
  "published": "2012-12-13T17:12:50.000Z",
  "updated": "2015-01-04T11:22:01.000Z",
  "title": "On large deviations for small noise Itô processes",
  "authors": [
    "Alberto Chiarini",
    "Markus Fischer"
  ],
  "comment": "30 pages",
  "journal": "Adv. in Appl. Probab. 46 (2014), no. 4, 1126--1147",
  "doi": "10.1239/aap/1418396246",
  "categories": [
    "math.PR"
  ],
  "abstract": "The large deviation principle in the small noise limit is derived for solutions of possibly degenerate It\\^o stochastic differential equations with predictable coefficients, which may depend also on the large deviation parameter. The result is established under mild assumptions using the Dupuis-Ellis weak convergence approach. Applications to certain systems with memory and to positive diffusions with square-root-like dispersion coefficient are included.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2012-12-14T07:24:36.000Z",
      "comment": "31 pages",
      "journal": null,
      "doi": null
    },
    {
      "version": "v3",
      "updated": "2015-01-04T11:22:01.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60F10",
      "60H10",
      "60J60",
      "34K50"
    ],
    "keywords": [
      "dupuis-ellis weak convergence approach",
      "large deviation parameter",
      "stochastic differential equations",
      "large deviation principle",
      "small noise limit"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 30,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1212.3223C"
    }
  }
}