Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion

Paolo Baldi; Lucia Caramellino; Maurizia Rossi

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arXiv · 1406.4649

Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion

Paolo Baldi·Lucia Caramellino·Maurizia Rossi

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Abstract

We provide Large Deviation estimates for the bridge of a $d$-dimensional general diffusion process as the conditioning time tends to $0$ 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.

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Paolo Baldi, Lucia Caramellino, Maurizia Rossi. 2014-06-18. Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion. https://arxiv.org/abs/1406.4649

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