Large deviation principle for one-dimensional SDE with discontinuous coefficients

Daryna D. Sobolieva
Theory of Stochastic Processes
Vol.18 (34), no.2, 2012, pp.102-108
We discuss the large deviation principle for one-dimensional SDEs with discontinuous coefficients. It is shown that the discontinuity of coefficients leads, in general, to the LDP asymptotics with a rate function which differs from the rate function in the standard Freidlin--Wentzell theorem.