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
Link To Document :
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