TY - JOUR
T1 - Laplace approximations for large deviations of diffusion processes on Euclidean spaces
AU - Liang, Song
PY - 2005
Y1 - 2005
N2 - Consider a class of uniformly elliptic diffusion processes (Xt)t ≥ 0 on Euclidean spaces Rd. We give an estimate of EPx[exp(TΦ(1/T ∫T0 δ Xt dt))||XT = y] as T → ∞ up to the order 1+o(1), where δ, means the delta measure, and Φ is a function on the set of measures on Rd. This is a generalization of the works by Bolthausen-Deuschel-Tamura [3] and Kusuoka-Liang [10], which studied the same problems for processes on compact state spaces.
AB - Consider a class of uniformly elliptic diffusion processes (Xt)t ≥ 0 on Euclidean spaces Rd. We give an estimate of EPx[exp(TΦ(1/T ∫T0 δ Xt dt))||XT = y] as T → ∞ up to the order 1+o(1), where δ, means the delta measure, and Φ is a function on the set of measures on Rd. This is a generalization of the works by Bolthausen-Deuschel-Tamura [3] and Kusuoka-Liang [10], which studied the same problems for processes on compact state spaces.
KW - Diffusion process
KW - Euclidean space
KW - Laplace approximation
KW - Large deviation
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U2 - 10.2969/jmsj/1158242071
DO - 10.2969/jmsj/1158242071
M3 - Article
AN - SCOPUS:22144470805
VL - 57
SP - 557
EP - 592
JO - Journal of the Mathematical Society of Japan
JF - Journal of the Mathematical Society of Japan
SN - 0025-5645
IS - 2
ER -