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

DOI10.15559/16-VMSTA49zbMATH Open1352.60039arXiv1604.01628MaRDI QIDQ340816FDOQ340816

Authors: Daryna Sobolieva, A. M. Kulik 

Publication date: 15 November 2016

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

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

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)

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