arXiv · 1410.0863
On Sharp Large Deviations for the bridge of a general Diffusion
Abstract
We provide sharp Large Deviation estimates for the probability of exit from a domain for the bridge of a $d$-dimensional general diffusion process $X$, as the conditioning time tends to $0$. This kind of results is motivated by applications to numerical simulation. In particular we investigate the influence of the drift $b$ of $X$. It turns out that the sharp asymptotics for the exit time probability are independent of the drift, provided $b$ enjoyes a simple condition that is always satisfied in dimension $1$. On the other hand, we show that the drift can be influential if this assumption is not satisfied. }
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Paolo Baldi, Lucia Caramellino, Maurizia Rossi. 2015-09-17. On Sharp Large Deviations for the bridge of a general Diffusion. https://arxiv.org/abs/1410.0863
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