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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Large deviations principle for weighted means of a recursive numerical method for ergodic SDEs
遍历 SDE递归 数值方法 加权均值 大偏差原理
2023/4/24
For ergodic SDEs, their ergodic limits are usually approximated by the suitable means of numerical methods. To reveal the numerical asymptotic behavior, we study the large deviations principle (LDP) f...
Large Deviations Principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections
Large Deviations Principle diffusions with oblique reflections
2011/1/21
We establish a Large Deviations Principle for stochastic processes with Lipschitz continuous oblique reflections on regular domains. The rate functional is given as the value function of a control pro...