Some Large Deviation Results for Diffusion Processes

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details: : Some Large Deviation Results for Diffusion Processes. PhD thesis, University of Kaiserslautern, Germany, 2004.
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preprint: preprint:pdf, preprint:ps
metadata: BibTeX, Google
keywords: diffusion processes, large deviations, SDEs
MSC2000: 60F10, 60H10

Abstract

In this text we survey some large deviation results for diffusion processes. The first chapters present results from the literature such as the Freidlin-Wentzell theorem for diffusions with small noise. We use these results to prove a new large deviation theorem about diffusion processes with strong drift. This is the main result of the thesis. In the later chapters we give another application of large deviation results, namely to determine the exponential decay rate for the Bayes risk when separating two different processes. The final chapter presents techniques which help to experiment with rare events for diffusion processes by means of computer simulations.

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