Asymptotics of exponential moments of a weighted local time of a Brownian motion with small variance

DOI10.15559/16-VMSTA49MaRDI QIDQ340816zbMATH OpenFDO

Authors Daryna Sobolieva, A. M. Kulik

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.01628

zbMATH Keywords

Brownian motionlarge deviations principlelocal timeexponential moment

Mathematics Subject Classification ID

Large deviations (60F10) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

Abstract: We prove a large deviation type estimate for the asymptotic behavior of a weighted local time of $varepsilonW$ as $varepsilono0$.

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