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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 10, Fasc. 1,
pages 93 - 105
 

LARGE DEVIATIONS OF INVARIANT MEASURES FOR DEGENERATE DIFFUSIONS

Łukasz Stettner

Abstract: In this note we study large deviations of invariant measures for stable dynamical systems under small noise perturbations of white noise type. The systems are modelled by diffusion equations with a diffusion term es(x), t which we allow to be degenerated. The corresponding invariant measures converge to a measure concentrated at the stable point and their logarithms are compared with the optimal values of linear deterministic control problems with quadratic functionals.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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