Large Deviation Problems for Markov Random Evolution with Independent Increments in the Scheme of Asymptotically Small Diffusion
Анотація
The exponential generator of large deviations for random evolutions with independent increments is realized in the scheme of asymptotically small diffusion by using a solution of the singular perturbation problem for a reducible invertible operator.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Transformations of Telegraph Processes and Their Financial Applications
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Optimization of small deviation for mixed fractional Brownian motion with trend
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Generalized Peano problem with Lévy noise
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
An estimate of the rate of convergence of an approximating scheme applied to a stochastic differential equation with an additional parameter
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics