Seminar series
Date
Mon, 08 Nov 2004
15:45
15:45
Location
DH 3rd floor SR
Speaker
Dr Jochen Voss
Organisation
University of Warwick
We present a large deviation result for the behaviour of the
end-point of a diffusion under the influence of a strong drift. The rate
function can be explicitely determined for both attracting and repelling
drift. It transpires that this problem cannot be solved using
Freidlin-Wentzel theory alone. We present the main ideas of a proof which
is based on the Girsanov-Formula and Tauberian theorems of exponential type.