We consider a family of stochastic differential equations with a drift depending on the past history and a delayed diffusion term perturbed by a small parameter epsilon > 0. We establish the asymptotic behaviour as epsilon down arrow 0 for the logarithm of the corresponding family of densities at a fixed time t > 0. The proof needs large deviation estimates and Malliavin calculus.

Stochastic delay equations with hereditarity drift: estimates of the density

FERRANTE, MARCO;
2000

Abstract

We consider a family of stochastic differential equations with a drift depending on the past history and a delayed diffusion term perturbed by a small parameter epsilon > 0. We establish the asymptotic behaviour as epsilon down arrow 0 for the logarithm of the corresponding family of densities at a fixed time t > 0. The proof needs large deviation estimates and Malliavin calculus.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/1346500
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 4
  • ???jsp.display-item.citation.isi??? 3
social impact