Large deviations for non-Markovian diffusions and a path-dependent eikonal equation (Q330697)

By adapting a PDE method to path-dependent equations and using techniques of backward stochastic differential equations, the large deviation pronciple (LDP) is established for a class of stochastic differential equations driven by Brownian motion with path-dependent Lipschitzian coefficientsm. This provides an alternative study of the topic to \textit{F. Gao} and \textit{J. Liu} [Stoch. Dyn. 6, No. 4, 487--520 (2006; Zbl 1113.60030)] where the pioneering idea of Freidlin and Wentzell is applied. The main result is applied to characterize the short maturity asymptotics of the implied volatility surface in financial mathematics.