OpenAlex | Large deviations for stochastic systems with memory

Large deviations for stochastic systems with memory

Work

Year: 2006

Type: article

Abstract: In this paper, we develop a large deviations principle for stochastic delay equations driven by small multiplicative white noise. Both upper and lower large deviations estimates are established.

Source: Discrete and Continuous Dynamical Systems - B

Authors Salah-Eldin A. Mohammed, Tusheng Zhang

Institution Southern Illinois University Carbondale

Cites: 16

Cited by: 27

Related to: 10

FWCI: 0.308

Citation percentile (by year/subfield): 89.97

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze