Large deviations related to the law of the iterated logarithm for Itô diffusions

DOI10.1214/20-ECP297zbMath1434.60088arXiv1903.01175MaRDI QIDQ2183114

Christoph Gerstenecker, Stefan Gerhold

Publication date: 26 May 2020

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.01175

zbMATH Keywords

law of the iterated logarithmlarge deviations principleboundary crossingsItô diffusion

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Large deviations (60F10)

Uses Software

• GAUSSIAN

Cites Work

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• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Strassen's law of the iterated logarithm for diffusion processes for small time
• Asymptotic behaviors for functionals of random dynamical systems

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