Accession Number:

ADA055652

Title:

Large Deviations for Diffusions Depending on Small Parameters: A Stochastic Control Method.

Descriptive Note:

Interim rept.,

Corporate Author:

BROWN UNIV PROVIDENCE R I LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s):

Report Date:

1978-01-01

Pagination or Media Count:

7.0

Abstract:

This paper considers stochastic differential equations depending on a small parameter epsilon, which enters as a coefficient in the noise term of the equation. The Ventcel-Freidlin estimates give an asymptotic formula as epsilon approaches 0 for the probability that a solution trajectory hits a given compact set B during a given time interval. A stochastic control method to obtain such estimates is outlined. Detailed proofs are given elsewhere. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE