On Sharp Large Deviations for the bridge of a general Diffusion

Abstract

We provide sharp Large Deviation estimates for the probability of exit from a domain for the bridge of a d-dimensional general diffusion process X, as the conditioning time tends to 0. This kind of results is motivated by applications to numerical simulation. In particular we investigate the influence of the drift b of X. It turns out that the sharp asymptotics for the exit time probability are independent of the drift, provided b enjoyes a simple condition that is always satisfied in dimension 1. On the other hand, we show that the drift can be influential if this assumption is not satisfied.

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