JournalsaihpcVol. 6pp. 229–258

A PDE Approach to Certain Large Deviation Problems for Systems of Parabolic Equations

  • L.C. Evans

    Department of Mathematics, University of Maryland, College Park, MD 20742

  • P.E. Souganidis

    Division of Applied Mathematics, Brown University, Providence, RI 02912
A PDE Approach to Certain Large Deviation Problems for Systems of Parabolic Equations cover
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Abstract

We prove an exponential decay estimate for solutions of certain scaled systems of parabolic PDE. Our techniques employ purely PDE methods, mainly the theory of viscosity solutions of Hamilton-Jacobi equations, and provide therefore an alternate approach to the probabilistic large deviation methods of Freidlin-Wentzell, Donsker-Varadhan, etc.

Cite this article

L.C. Evans, P.E. Souganidis, A PDE Approach to Certain Large Deviation Problems for Systems of Parabolic Equations. Ann. Inst. H. Poincaré Anal. Non Linéaire 6 (1989), pp. 229–258

DOI 10.1016/S0294-1449(17)30024-0