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

DOI10.1214/20-ECP297MaRDI QIDQ2183114zbMATH OpenFDO

Authors Stefan Gerhold, Christoph Gerstenecker

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, https://projecteuclid.org/euclid.ecp/1581995086

zbMATH Keywords

large deviations principlelaw of the iterated logarithmboundary crossingsItô diffusion

Mathematics Subject Classification ID

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

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).

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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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