Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion
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🧮 math.PR
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asymptoticsbridgedeviationdiffusionexitgenerallargetime
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We provide Large Deviation estimates for the bridge of a $d$-dimensional general diffusion process as the conditioning time tends to $0$ and apply these results to the evaluation of the asymptotics of its exit time probabilities. We are motivated by applications to numerical simulation, especially in connection with stochastic volatility models.
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