Large deviation principle for diffusion processes under a sublinear expectation  

作　　者：CHEN ZengJing 1,2 & XIONG Jie 3,4,1 School of Mathematics,Shandong University,Jinan 250100,China 2 Department of Financial Engineering,Ajou University,Suwon 443749,Korea 3 Department of Mathematics,University of Macao,PO Box 3001,Macao,China 4 Department of Mathematics,University of Tennessee,Knoxville,TN 37996-1300,USA 

出　　处：《Science China Mathematics》2012年第11期2205-2216,共12页中国科学：数学（英文版）

基　　金：supported by National Natural Science Foundation of China (Grant No.10921101);WCU program of the Korea Science and Engineering Foundation (Grant No. R31-20007);National Science Foundation of US (Grant No. DMS-0906907)

摘　　要：We represent the exponential moment of the Brownian functionals under a nonlinear expectation according to the solution to a backward stochastic differential equation.As an application,we establish a large deviation principle of the Freidlin and Wentzell type under the corresponding nonlinear probability for diffusion processes with a small diffusion coefficient.We represent the exponential moment of the Brownian functionals under a nonlinear expectation according to the solution to a backward stochastic differential equation. As an application, we establish a large deviation principle of the Freidlin and Wentzell type under the corresponding nonlinear probability for diffusion processes with a small diffusion coefficient.

关 键 词：large deviation principle backward stochastic differential equation G-EXPECTATION AMBIGUITY 

分 类 号：O211.6[理学—概率论与数理统计] O211.67[理学—数学]