On Sharp Large Deviations for the Bridge of a General Diffusion

DOI10.1007/978-3-319-18585-9_18zbMath1334.60027arXiv1410.0863OpenAlexW345550928MaRDI QIDQ2798589

Maurizia Rossi, Lucia Caramellino, Paolo Baldi

Publication date: 13 April 2016

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.0863

Mathematics Subject Classification ID

Diffusion processes (60J60) Large deviations (60F10)

Related Items (3)

Fluctuations of bridges, reciprocal characteristics and concentration of measure ⋮ Large deviations of conditioned diffusions and applications ⋮ Large Deviation Principle for Bridges of Sub-Riemannian Diffusion Processes

Cites Work

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• Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
• On conditional diffusion processes
• Large deviation estimates of the crossing probability for pinned Gaussian processes
• Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers
• Large deviations for the Bessel clock

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