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Large Deviations for Brownian Bridges with Prescribed Terminal Densities
Linköping University, Department of Mathematics, Applied Mathematics. Linköping University, Faculty of Science & Engineering.
Linköping University, Department of Mathematics, Applied Mathematics. Linköping University, Faculty of Science & Engineering.
2023 (English)In: Probability and Mathematical Statistics, ISSN 0208-4147, Vol. 43, no 1, p. 141-154Article in journal (Refereed) Published
Abstract [en]

We consider a family of Brownian bridges (depending on some small parameter) over a finite time interval whose initial position is deterministically fixed, and whose terminal position possesses a prescribed density. Large deviations for this family are studied with the help of the Girsanov transformation.

Place, publisher, year, edition, pages
WYDAWNICTWO UNIWERSYTETU WROCLAWSKIEGO , 2023. Vol. 43, no 1, p. 141-154
Keywords [en]
large deviations; Brownian bridges; reciprocal processes
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-201874ISI: 001180403500008OAI: oai:DiVA.org:liu-201874DiVA, id: diva2:1847667
Available from: 2024-03-28 Created: 2024-03-28 Last updated: 2024-03-28

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