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
Descriptors:
Subject Categories:
- Statistics and Probability