An analytic approach to the large deviations for multi-valued SDEs

REN Jiagang; WU Jing

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An analytic approach to the large deviations for multi-valued SDEs

REN Jiagang 1,WU Jing 2 * #

1.School of Mathematics, Sun Yat-sen University, Guangzhou 510275

2.School of Mathematics, Sun Yat-sen University, Guangzhou 510275

*Correspondence author

#Submitted by

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Funding: Specialized Research Fund for the Doctoral Program of Higher Education of China （No.20120171120008）, NSFC（No.11671408,11471340）

Opened online: 2 May 2017

Accepted by: none

Citation: REN Jiagang,WU Jing.An analytic approach to the large deviations for multi-valued SDEs[OL]. [ 2 May 2017] http://en.paper.edu.cn/en_releasepaper/content/4726661

In this paper we study the uniform large deviations formultivalued stochastic differential equations (MSDEs) by applying a stability result ofthe viscosity solutions of second order Hamilton-Jacobi-Bellemanequationswith multivalued operators. Moreover, the large deviation principle is uniform in time and in starting point.

Keywords:Multivalued stochastic differential equation; Large deviation principle; viscosity solution

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