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Large Deviations for Past-Dependent Recursions

F. Klebaner·R. Liptser
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Abstract

The Large Deviation Principle is established for stochastic models defined by past-dependent non linear recursions with small noise. In the Markov case we use the result to obtain an explicit expression for the asymptotics of exit time.

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F. Klebaner, R. Liptser. 2006-03-16. Large Deviations for Past-Dependent Recursions. https://arxiv.org/abs/math/0603407

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