Large deviations for the empirical measure of a diffusion via weak convergence methods

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:128

Article

Dupuis, Paul¹  Lipshutz, David¹ 

[1] Brown Univ, Div Appl Math, Providence, RI 02912 USA

关键词: Diffusion;    Empirical measure;    Large deviations;    Weak convergence method;   

DOI  :  10.1016/j.spa.2017.09.020

来源: Elsevier

【 摘 要 】

We consider the large deviation principle for the empirical measure of a diffusion in Euclidean space, which was first established by Donsker and Varadhan. We employ a weak convergence approach and obtain a characterization for the rate function that is dual to the one obtained by Donsker and Varadhan, and which allows us to evaluate the variational form of the rate function for both reversible and nonreversible diffusions. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

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