Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion (1406.4649v1)

Abstract: We provide Large Deviation estimates for the bridge of a $d$-dimensional general diffusion process as the conditioning time tends to $0$ and apply these results to the evaluation of the asymptotics of its exit time probabilities. We are motivated by applications to numerical simulation, especially in connection with stochastic volatility models.