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

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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.

Original languageEnglish
Pages (from-to)8107-8137
Number of pages31
JournalTransactions of the American Mathematical Society
Volume367
Issue number11
DOIs
Publication statusPublished - Nov 1 2015
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Mathematics(all)
  • Applied Mathematics

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