OpenAlex | On large deviations in the averaging principle for SDE's with a "full dependence,'' revisited

On large deviations in the averaging principle for SDE's with a "full dependence,'' revisited

Work

Year: 2012

Type: article

Abstract: We establish the large deviation principle for stochastic differential equations with averaging in the case when all coefficients of the fast component depend on the slow one, including diffusion.

Source: Discrete and Continuous Dynamical Systems - B

Author A. Yu. Veretennikov

Cites: 16

Cited by: 18

Related to: 10

FWCI: 1.792

Citation percentile (by year/subfield): 89.15

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold