## Taiwanese Journal of Mathematics

### A LARGE DEVIATION PRINCIPLE OF REFLECTING DIFFUSIONS

Shey Shiung Sheu

#### Abstract

In this paper, we will prove that the solution of stochastic differential equation with a small diffusion coefficient in a nonsmooth domain normally reflected at boundary satisfies a large deviation principle and converges to a deterministic path in $L^p$.

#### Article information

Source
Taiwanese J. Math., Volume 2, Number 2 (1998), 251-256.

Dates
First available in Project Euclid: 18 July 2017

https://projecteuclid.org/euclid.twjm/1500406935

Digital Object Identifier
doi:10.11650/twjm/1500406935

Mathematical Reviews number (MathSciNet)
MR1623236

Zentralblatt MATH identifier
1002.60571

Subjects