Large deviations and support theorem for diffusion processes via rough paths

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.

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Year of publication:	2002
Authors:	Ledoux, M. ; Qian, Z. ; Zhang, T.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 102.2002, 2, p. 265-283
Publisher:	Elsevier
Keywords:	Rough paths Large deviation principle Support theorem Diffusion processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008875614