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arxiv: 1412.8113 · v2 · pith:CEBHRYXNnew · submitted 2014-12-28 · 🧮 math.PR

Large deviations for rough path lifts of Watanabe's pullbacks of delta functions

classification 🧮 math.PR
keywords largedeviationpathprincipleroughdeltadiffusionfunctions
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We study Donsker-Watanabe's delta functions associated with strongly hypoelliptic diffusion processes indexed by a small parameter. They are finite Borel measures on the Wiener space and admit a rough path lift. Our main result is a large deviation principle of Schilder type for the lifted measures on the geometric rough path space as the scale parameter tends to zero. As a corollary, we obtain a large deviation principle conjectured by Takanobu and Watanabe, which is a generalization of a large deviation principle of Freidlin-Wentzell type for pinned diffusion processes.

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