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

2012/03/23 by Yuzuru Inahama, Inahama, Yuzuru · 5 citations
Computer Science · Mathematics · #Advanced Mathematical Modeling in Engineering #Nonlinear Partial Differential Equations #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1203.5177

Abstract

Since T. Lyons invented rough path theory, one of its most successful\napplications is a new proof of Freidlin-Wentzell's large deviation principle\nfor diffusion processes. In this paper we extend this method to the case of\npinned diffusion processes under a mild ellipticity assumption. Besides rough\npath theory, our main tool is quasi-sure analysis, which is a kind of potential\ntheory in Malliavin calculus.\n

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