an:02233722
Zbl 1075.60510
Ledoux, M.; Qian, Z.; Zhang, T.
Large deviations and support theorem for diffusion processes via rough paths
EN
Stochastic Processes Appl. 102, No. 2, 265-283 (2002).
00121360
2002
j
60F10 60J60 60H10
Summary: We use the continuity theorem of Lyons for rough paths in the \(p\)-variation topology to produce an elementary approach to the large deviation principle and the support theorem for diffusion processes. The proofs reduce to establish the corresponding results for Brownian motion itself as a rough path in the \(p\)-variation topology, \(2 < p < 3\), and the technical step is to handle the L??vy area in this respect. Some extensions and applications are discussed.