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Large Deviations for One Dimensional Diffusions with a Strong Drift


 
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1. Title Title of document Large Deviations for One Dimensional Diffusions with a Strong Drift
 
2. Creator Author's name, affiliation, country Jochen Voss; University of Warwick
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) large deviations; diffusion processes; stochastic differential equations
 
3. Subject Subject classification 60F10 60H10
 
4. Description Abstract We derive a large deviation principle which describes the behaviour of a diffusion process with additive noise under the influence of a strong drift. Our main result is a large deviation theorem for the distribution of the end-point of a one-dimensional diffusion with drift $\theta b$ where $b$ is a drift function and $\theta$ a real number, when $\theta$ converges to $\infty$. It transpires that the problem is governed by a rate function which consists of two parts: one contribution comes from the Freidlin-Wentzell theorem whereas a second term reflects the cost for a Brownian motion to stay near a equilibrium point of the drift over long periods of time.
 
5. Publisher Organizing agency, location
 
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7. Date (YYYY-MM-DD) 2008-09-01
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/564
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-564
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
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