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 |
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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 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Mathematics(all)
- Applied Mathematics