Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion
Probability
2014-06-19 v1
Abstract
We provide Large Deviation estimates for the bridge of a -dimensional general diffusion process as the conditioning time tends to and apply these results to the evaluation of the asymptotics of its exit time probabilities. We are motivated by applications to numerical simulation, especially in connection with stochastic volatility models.
Cite
@article{arxiv.1406.4649,
title = {Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion},
author = {Paolo Baldi and Lucia Caramellino and Maurizia Rossi},
journal= {arXiv preprint arXiv:1406.4649},
year = {2014}
}
Comments
15 pages, 2 figures