Large Deviations for Regime-Switching Diffusions with Infinite Delay
Stochastic Processes and their Applications(2024)
摘要
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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关键词
Regime-switching functional diffusion process,Infinite delay,Large deviation principle,Stochastic gronwall lemma,Local one-sided Lipschitz condition
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