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On Approximate Large Deviations for 1D Diffusion

  • A. Yu. Veretennikov
Published/Copyright: March 3, 2010
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Georgian Mathematical Journal
From the journal Volume 10 Issue 2

Abstract

We establish sufficient conditions under which the rate function for the Euler approximation scheme for a solution of a one-dimensional stochastic differential equation on the torus is close to that for an exact solution of this equation.

Key words and phrases:: Itô equation; Euler scheme; large deviations
Received: 2002-11-19
Revised: 2003-02-23
Published Online: 2010-03-03
Published in Print: 2003-June

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