• 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