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 | |
| Publication status | Published - Nov 1 2015 |
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All Science Journal Classification (ASJC) codes
- Mathematics(all)
- Applied Mathematics
Cite this
Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes. / Inahama, Yuzuru.
In: Transactions of the American Mathematical Society, Vol. 367, No. 11, 01.11.2015, p. 8107-8137.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes
AU - Inahama, Yuzuru
PY - 2015/11/1
Y1 - 2015/11/1
N2 - 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.
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.
UR - http://www.scopus.com/inward/record.url?scp=84940702178&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84940702178&partnerID=8YFLogxK
U2 - 10.1090/S0002-9947-2015-06290-4
DO - 10.1090/S0002-9947-2015-06290-4
M3 - Article
AN - SCOPUS:84940702178
VL - 367
SP - 8107
EP - 8137
JO - Transactions of the American Mathematical Society
JF - Transactions of the American Mathematical Society
SN - 0002-9947
IS - 11
ER -