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

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

2012-03-23

arxiv.org/abs/1203.5177v1

Mathematics

Probability

35 pages, no figure

Scientific paper

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 one of the deepest parts of Malliavin calculus.

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