Large deviations and support theorem for diffusion processes via rough paths

M. Ledoux, Z. Qian and T. Zhang

Stochastic Processes and their Applications, 2002, vol. 102, issue 2, 265-283

Abstract: We use the continuity theorem of Lyons for rough paths in the p-variation topology to produce an elementary approach to the large deviation principle and the support theorem for diffusion processes. The proofs reduce to establish the corresponding results for Brownian motion itself as a rough path in the p-variation topology, 2

Keywords: Rough; paths; Large; deviation; principle; Support; theorem; Diffusion; processes (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (7)

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