LARGE DEVIATION PRINCIPLE FOR STOCHASTIC EQUATIONS WITH LOCAL TIME

IVAN H. KRYKUN

Theory of Stochastic Processes Vol.15 (31), no.2, 2009, pp.140-155

The large deviation principle for solutions of one-dimensional equations with a local time is proved. The explicit form for the rate function is obtained. We also consider the large deviation principle for solutions of Itô's stochastic equations with discontinuous coefficients.