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

Abstract

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.

15 pages, 2 figures

References in corpus (1)

• Large deviation principle for bridges of degenerate diffusions