Large Deviations and Support Theorem for Diffusions via Rough Paths
نویسندگان
چکیده
Abstract. – We use the continuity theorem of T. 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. Various extensions and applications are discussed.
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