Asymptotics of exponential moments of a weighted local time of a Brownian motion with small variance

Abstract

We prove a large deviation type estimate for the asymptotic behavior of a weighted local time of $\epsilon W$ as $\epsilon \to 0$.

Published at http://dx.doi.org/10.15559/16-VMSTA49 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)