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

Yuzuru Inahama

doi:10.1090/S0002-9947-2015-06290-4

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

Yuzuru Inahama

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

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.

Original language	English
Pages (from-to)	8107-8137
Number of pages	31
Journal	Transactions of the American Mathematical Society
Volume	367
Issue number	11
DOIs	https://doi.org/10.1090/S0002-9947-2015-06290-4
Publication status	Published - Nov 1 2015
Externally published	Yes

All Science Journal Classification (ASJC) codes

Mathematics(all)
Applied Mathematics

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10.1090/S0002-9947-2015-06290-4

Cite this

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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{\textquoteright}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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AB - 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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ER -

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

Abstract

All Science Journal Classification (ASJC) codes

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