Title of article
Large deviations and support theorem for diffusion processes via rough paths
Author/Authors
Ledoux، نويسنده , , M. and Qian، نويسنده , , Z. and Zhang، نويسنده , , T.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
19
From page
265
To page
283
Abstract
We use the continuity theorem of Lyons for rough paths in the p-variation topology to produce an elementary approach to the large deviation principle and the support theorem for diffusion processes. The proofs reduce to establish the corresponding results for Brownian motion itself as a rough path in the p-variation topology, 2<p<3, and the technical step is to handle the Lévy area in this respect. Some extensions and applications are discussed.
Keywords
Rough paths , Large deviation principle , Diffusion processes , Support theorem
Journal title
Stochastic Processes and their Applications
Serial Year
2002
Journal title
Stochastic Processes and their Applications
Record number
1577045
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