Very rare events for diffusion processes in short time
Probability
2019-01-30 v1
Abstract
We study the large deviation estimates for the short time asymptotic behavior of a strongly degenerate diffusion process. Assuming a nilpotent structure of the Lie algebra generated by the driving vector fields, we obtain a graded large deviation principle and prove the existence of those "very rare events". In particular the first grade coincides with the classical Large Deviation Principle.
Cite
@article{arxiv.1901.10025,
title = {Very rare events for diffusion processes in short time},
author = {Gérard Ben Arous and Jing Wang},
journal= {arXiv preprint arXiv:1901.10025},
year = {2019}
}
Comments
24 pages