Higher order asymptotics for large deviations - Part II

Journal Article (Journal Article)

We obtain asymptotic expansions for the large deviation principle (LDP) for continuous time stochastic processes with weakly-dependent increments. As a key example, we show that additive functionals of solutions of stochastic differential equations (SDEs) satisfying Hörmander condition on a d-dimensional compact manifold admit these asymptotic expansions of all orders.

Full Text

Duke Authors

Cited Authors

  • Fernando, K; Hebbar, P

Published Date

  • January 1, 2020

Published In

International Standard Serial Number (ISSN)

  • 0219-4937

Digital Object Identifier (DOI)

  • 10.1142/S0219493721500258

Citation Source

  • Scopus