We provide Large Deviation estimates for the bridge of a d-dimensional general diffusion process as the conditioning time tends to 0 and show that these results can be applied to the evaluation of the asymptotics of its exit time probabilities.
Baldi, P., Caramellino, L., Rossi, M. (2020). Large deviations of conditioned diffusions and applications. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 130(3), 1289-1308 [10.1016/j.spa.2019.05.002].
Large deviations of conditioned diffusions and applications
Rossi, M
2020
Abstract
We provide Large Deviation estimates for the bridge of a d-dimensional general diffusion process as the conditioning time tends to 0 and show that these results can be applied to the evaluation of the asymptotics of its exit time probabilities.
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