Large deviations for regime-switching diffusions with infinite delay

IF 1.1 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2024-06-24 DOI:10.1016/j.spa.2024.104418

Ya Wang , Fuke Wu , Chao Zhu

引用次数: 0

Abstract

Focusing on a class of regime-switching functional diffusion processes with infinite delay, a Freidlin–Wentzell type large deviations principle (LDP) is established by using an extended contraction principle and an exponential approximation argument under a local one-side Lipschitz condition. The result is new even for functional diffusion processes with infinite delay without regime-switching. Several interesting examples are given to illustrate our results.

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具有无限延迟的制度切换扩散的大偏差

针对一类具有无限延迟的制度切换函数扩散过程，通过使用扩展收缩原理和局部单边利普希兹条件下的指数逼近论证，建立了弗里德林-温采尔型大偏差原理（LDP）。即使对于无制度切换的无限延迟函数扩散过程，这一结果也是全新的。我们给出了几个有趣的例子来说明我们的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.