On sharp large deviations for the bridge of a general diffusion

DOI10.1007/978-3-319-18585-9_18MaRDI QIDQ2798589zbMATH OpenOpenAlexFDO

Authors Paolo Baldi, Lucia Caramellino, Maurizia Rossi

Publication date 13 April 2016

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.0863

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60)

Abstract: We provide sharp Large Deviation estimates for the probability of exit from a domain for the bridge of a $d$-dimensional general diffusion process $X$, as the conditioning time tends to $0$. This kind of results is motivated by applications to numerical simulation. In particular we investigate the influence of the drift $b$ of $X$. It turns out that the sharp asymptotics for the exit time probability are independent of the drift, provided $b$ enjoyes a simple condition that is always satisfied in dimension $1$. On the other hand, we show that the drift can be influential if this assumption is not satisfied. }

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Cites work

• A large deviations principle related to the strong arc-sine law
• Asymptotic series and exit time probabilities
• Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
• Exact asymptotics for the probability of exit from a domain and applications to simulation
• Large deviation estimates of the crossing probability for pinned Gaussian processes
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• On conditional diffusion processes
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• Simple simulation of diffusion bridges with application to likelihood inference for diffusions
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Cited in

(3)

• Fluctuations of bridges, reciprocal characteristics and concentration of measure
• Large deviations of conditioned diffusions and applications
• Large Deviation Principle for Bridges of Sub-Riemannian Diffusion Processes

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