Large Deviations for Non-Markovian Diffusions and a Path-Dependent Eikonal Equation
Large Deviations for Non-Markovian Diffusions and a Path-Dependent Eikonal Equation
This paper provides a large deviation principle for Non-Markovian, Brownian motion driven stochastic differential equations with random coefficients. Similar to Gao and Liu \cite{GL}, this extends the corresponding results collected in Freidlin and Wentzell \cite{FreidlinWentzell}. However, we use a different line of argument, adapting the PDE method of Fleming \cite{Fleming} …