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

DOI10.1214/20-ECP297zbMATH Open1434.60088arXiv1903.01175MaRDI QIDQ2183114FDOQ2183114

Authors: Stefan Gerhold, Christoph Gerstenecker 

Publication date: 26 May 2020

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

Abstract: When a Brownian motion is scaled according to the law of the iterated logarithm, its supremum converges to one as time tends to zero. Upper large deviations of the supremum process can be quantified by writing the problem in terms of hitting times and applying a result of Strassen (1967) on hitting time densities. We extend this to a small-time large deviations principle for the supremum of scaled Ito diffusions, using as our main tool a refinement of Strassen's result due to Lerche (1986).

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

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zbMATH Keywords

large deviations principlelaw of the iterated logarithmboundary crossingsItô diffusion

Mathematics Subject Classification ID

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

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

Cited In (5)

• Large deviations and functional iterated logarithm law for diffusion process with reflecting boundary
• Large deviations and law of the iterated logarithm for partial sums normalized by the largest absolute observation
• General large deviations and functional iterated logarithm law for multivalued stochastic differential equations
• Large deviations and laws of the iterated logarithm for the local times of additive stable processes
• Large deviations and functional iterated logarithm law for diffusion processes

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• GAUSSIAN

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