Large deviations for small noise diffusions with discontinuous statistics

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Abstract

This paper proves the large deviation principle for a class of non-degenerate small noise diffusions with discontinuous drift and with state-dependent diffusion matrix. The proof is based on a variational representation for functionals of strong solutions of stochastic differential equations and on weak convergence methods.

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Boué, M., Dupuis, P., & Ellis, R. S. (2000). Large deviations for small noise diffusions with discontinuous statistics. Probability Theory and Related Fields, 116(1), 125–149. https://doi.org/10.1007/PL00008720

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