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Volume 3, Issue 2 (2016)
Large deviation principle for one-dimens ...
Modern Stochastics: Theory and Applications
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Large deviation principle for one-dimensional SDEs with discontinuous coefficients
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Asymptotics of exponential moments of a weighted local time of a Brownian motion with small variance
Alexei Kulik
Daryna Sobolieva
https://doi.org/10.15559/16-VMSTA49
Pub. online:
5 Apr 2016
Type:
Research Article
Open Access
Journal:
Modern Stochastics: Theory and Applications
Volume 3, Issue 1 (2016), pp. 95–103
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Abstract
We prove a large deviation type estimate for the asymptotic behavior of a weighted local time of
$\varepsilon W$
as
$\varepsilon \to 0$
.
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