Large deviations for Brownian bridges with prescribed
terminal densities
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.