Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes
Probability
2013-04-02 v3
Abstract
Since T. Lyons invented rough path theory, one of its most successful applications is a new proof of Freidlin-Wentzell's large deviation principle for diffusion processes. In this paper we extend this method to the case of pinned diffusion processes under a mild ellipticity assumption. Besides rough path theory, our main tool is quasi-sure analysis, which is a kind of potential theory in Malliavin calculus.
Cite
@article{arxiv.1203.5177,
title = {Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes},
author = {Yuzuru Inahama},
journal= {arXiv preprint arXiv:1203.5177},
year = {2013}
}
Comments
Introductory sections were rewritten. 36 pages, no figure