A representation formula for large deviations rate functionals of invariant measures on the one dimensional torus

A Representation for Characteristic Functionals of Stable Random Measures with Values in Sazonov Spaces

Large Deviations for One Dimensional Diffusions with a Strong Drift

We derive a large deviation principle which describes the behaviour of a diffusion process with additive noise under the influence of a strong drift. Our main result is a large deviation theorem for the distribution of the end-point of a one-dimensional diffusion with drift θb where b is a drift function and θ a real number, when θ converges to ∞. It transpires that the problem is governed by a...

Large Deviations for the One - Dimensional Edwards Model

ONE-DIMENSIONAL EDWARDS MODEL Mar h 6, 2002 Rem o van der Hofstad 1 2 Frank den Hollander 3 Wolfgang K onig 4 Abstra t: In this paper we prove a large deviation prin iple for the empiri al drift of a onedimensional Brownian motion with self-repellen e alled the Edwards model. Our results extend earlier work in whi h a law of large numbers, respe tively, a entral limit theorem were derived. In ...

2 Large Deviations for the One - Dimensional Edwards Model

In this paper we prove a large deviation principle for the empirical drift of a onedimensional Brownian motion with self-repellence called the Edwards model. Our results extend earlier work in which a law of large numbers, respectively, a central limit theorem were derived. In the Edwards model a path of length T receives a penalty eT , where HT is the self-intersection local time of the path a...

Distribution-Invariant Risk Measures, Entropy, and Large Deviations

The simulation of distributions of financial positions is an important issue for financial institutions. If risk measures are evaluated for a simulated distribution instead of the model-implied distribution, errors of risk measurements needs to be analyzed. For distribution-invariant risk measures which are continuous on compacts we employ the theory of large deviations to study the probability...