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arXiv · 1203.5177

Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes

Yuzuru Inahama
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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.

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Yuzuru Inahama. 2013-04-01. Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes. https://arxiv.org/abs/1203.5177

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