On diffusions that cannot escape from a convex set

Let Xt be a diffusion on D with a generator , where f is a probability density such that f> 0 on an open convex set D and vanishes outside. Then [integral operator]D 1/f = [infinity] implies that Xt never leaves D. As an application we extend the asymptotics of Wiener integrals of Donsker--Varadhan from 1 to D.

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Year of publication:	1989
Authors:	Korzeniowski, Andrzej
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 8.1989, 3, p. 229-234
Publisher:	Elsevier
Subject:	diffusion large deviations variational formula

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

Persistent link: https://www.econbiz.de/10005137713