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Contents of PMS, Vol. 43, Fasc. 1,
pages 141 - 154
DOI: 10.37190/0208-4147.00117
Published online 28.8.2023
 

Large deviations for Brownian bridges with prescribed terminal densities

S. Saize
X. Yang

Abstract:

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.

2010 AMS Mathematics Subject Classification: Primary 60F10; Secondary 60J65, 35Q40.

Keywords and phrases: large deviations, Brownian bridges, reciprocal processes.

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