Large deviations of conditioned diffusions and applications
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Recommendations
- On sharp large deviations for the bridge of a general diffusion
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Cites work
- Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
- Brownian bridges on Riemannian manifolds
- Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus
- Diffusion processes in a small time interval
- Exact asymptotics for the probability of exit from a domain and applications to simulation
- Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
- scientific article; zbMATH DE number 1194719 (Why is no real title available?)
- scientific article; zbMATH DE number 3678842 (Why is no real title available?)
- scientific article; zbMATH DE number 1153603 (Why is no real title available?)
- scientific article; zbMATH DE number 1390103 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- Large Deviation Principle for Bridges of Sub-Riemannian Diffusion Processes
- Least action principle, heat propagation and subelliptic estimates on certain nilpotent groups
- Majoration en temps petit de la densité d'une diffusion dégénérée
- Minoration en temps petit de la densité d'une diffusion dégénérée. (Lower estimate for small times of the density of a degenerate diffusion)
- On sharp large deviations for the bridge of a general diffusion
- Pricing general barrier options: a numerical approach using sharp large deviations
- Weak approximation of killed diffusion using Euler schemes.
Cited in
(17)- On the convergence of diffusion processes conditioned to remain in a bounded region for large time to limiting positive recurrent diffusion processes
- Large deviation estimates for a conditional probability distribution. Applications to random interaction Gibbs measures
- Aronson's estimates and conditional diffusion processes
- Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
- Small-time fluctuations for the bridge in a model class of hypoelliptic diffusions of weak Hörmander type
- Approximating the first passage time density from data using generalized Laguerre polynomials
- Scaling limits for conditional diffusion exit problems and asymptotics for nonlinear elliptic equations
- On sharp large deviations for the bridge of a general diffusion
- Condensation transition in joint large deviations of linear statistics
- Large deviations for conditional Volterra processes
- scientific article; zbMATH DE number 1767707 (Why is no real title available?)
- scientific article; zbMATH DE number 858031 (Why is no real title available?)
- Large deviations for generalized conditioned Gaussian processes and their bridges
- scientific article; zbMATH DE number 5583846 (Why is no real title available?)
- General Freidlin-Wentzell large deviations and positive diffusions
- Large deviations for Brownian bridges with prescribed terminal densities
- Properties of the Dirichlet Green's function for linear diffusions on a half line
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