Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes

DOI10.1090/S0002-9947-2015-06290-4zbMATH Open1338.60083arXiv1203.5177MaRDI QIDQ2944928FDOQ2944928

Authors: Yuzuru Inahama 

Publication date: 8 September 2015

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Abstract: Since T. Lyons invented rough path theory, one of its most successful applications is a new proof of Freidlin-Wentzell's large deviation principle for diffusion processes. In this paper we extend this method to the case of pinned diffusion processes under a mild ellipticity assumption. Besides rough path theory, our main tool is quasi-sure analysis, which is a kind of potential theory in Malliavin calculus.

Full work available at URL: https://arxiv.org/abs/1203.5177

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zbMATH Keywords

Malliavin calculusstochastic differential equationlarge deviation principlerough path theoryquasi-sure analysispinned diffusion process

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

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Cited In (17)

• General Freidlin-Wentzell large deviations and positive diffusions
• Short time full asymptotic expansion of hypoelliptic heat kernel at the cut locus
• Large deviations for rough path lifts of Watanabe's pullbacks of delta functions
• Large deviations and support theorem for diffusion processes via rough paths.
• Fractal dimensions of rough differential equations driven by fractional Brownian motions
• LARGE DEVIATIONS FOR HEAT KERNEL MEASURES ON LOOP SPACES VIA ROUGH PATHS
• Large deviations for small noise hypoelliptic diffusion bridges on sub-Riemannian manifolds
• Large deviation principle for fractional Brownian motion with respect to capacity
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• Large deviations for Brownian bridges with prescribed terminal densities
• Uniform large deviation for pinned hyperbolic Brownian motion
• Large Deviation Principle for Bridges of Sub-Riemannian Diffusion Processes
• SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES
• Rough path theory and stochastic calculus
• Rough differential equations driven by signals in Besov spaces

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