Kodai Mathematical Journal
Online ISSN : 1881-5472
Print ISSN : 0386-5991
ISSN-L : 0386-5991
Precise large deviations for Ornstein-Uhlenbeck processes
Xiangfeng Yang
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2013 年 36 巻 3 号 p. 527-535

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For a family of Ornstein-Uhlenbeck processes having an infinitesimal size of noise, we prove precise asymptotics for large deviations of an integral form over the continuous path space. The main ingredients in the proof are an exponential change of measures and subtle Taylor expansions with suitable estimates. An application of these precise integral large deviations to partial differential equations is included.
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© 2013 Department of Mathematics, Tokyo Institute of Technology
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