Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients

Abstract

We study the large deviation principle of stochastic differential equations with non-Lipschitzian and non-homogeneous coefficients. We consider at first the large deviation principle when the coefficients σ and b are bounded, then we generalize the conclusion to unbounded case by using bounded approximation program. Our results are generalization of S. Fang-T. Zhang’s results.

Key words： Stochastic differential equation; non-Lipschitzian; large deviation principle

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