A refined large deviation principle for Brownian motion and its application to boundary crossing

DOI10.1016/0304-4149(94)90045-0zbMath0813.60028OpenAlexW2086882584MaRDI QIDQ1336974

M. Beibel, Hans Rudolf Lerche

Publication date: 30 May 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90045-0

zbMATH Keywords

large deviation principleboundary crossingSchilder's theoremstronger topologyupper-class functions

Mathematics Subject Classification ID

Brownian motion (60J65) Large deviations (60F10)

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A refined large deviation principle for Brownian motion and its application to boundary crossing ⋮ Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve ⋮ On a fundamental identity for stopping times and its application to risk theory

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