Large Deviations for One Dimensional Diffusions with a Strong Drift
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2008
ISSN: 1083-6489
DOI: 10.1214/ejp.v13-564