Large deviations of conditioned diffusions and applications

Paolo Baldi, Lucia Caramellino and Maurizia Rossi

Stochastic Processes and their Applications, 2020, vol. 130, issue 3, 1289-1308

Abstract: We provide Large Deviation estimates for the bridge of a d-dimensional general diffusion process as the conditioning time tends to 0 and show that these results can be applied to the evaluation of the asymptotics of its exit time probabilities.

Keywords: Large deviations; Conditioned diffusions; Exit times (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:3:p:1289-1308

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DOI: 10.1016/j.spa.2019.05.002

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