Logarithmic estimates for the density of an anticipating stochastic differential equation
In this paper we study Varadhan's estimates for the density of a family of solutions of anticipating stochastic differential equations driven by a white noise which is perturbed by a small parameter [var epsilon]. The anticipating input is given by the initial condition and the stochastic integral term is of Stratonovich type.
Year of publication: |
1999
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Authors: | Sanz-Solé, Marta ; Sarrà, Mònica |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 79.1999, 2, p. 301-321
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Publisher: |
Elsevier |
Keywords: | Anticipating calculus Large deviations Malliavin calculus Anticipating stochastic differential equations |
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