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arxiv: 1406.4649 · v1 · pith:ZYTOXJ3Unew · submitted 2014-06-18 · 🧮 math.PR

Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion

classification 🧮 math.PR
keywords 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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