TY - THES
A1 - Voß, Jochen
T1 - Some Large Deviation Results for Diffusion Processes
N2 - In this text we survey some large deviation results for diffusion processes. The first chapters present results from the literature such as the Freidlin-Wentzell theorem for diffusions with small noise. We use these results to prove a new large deviation theorem about diffusion processes with strong drift. This is the main result of the thesis. In the later chapters we give another application of large deviation results, namely to determine the exponential decay rate for the Bayes risk when separating two different processes. The final chapter presents techniques which help to experiment with rare events for diffusion processes by means of computer simulations.
N2 - Einige Resultate über große Abweichungen von Diffusionsprozessen
KW - Diffusionsprozess
KW - Große Abweichung
KW - Stochastische Differentialgleichung
Y1 - 2004
UR - https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1559
UR - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hbz:386-kluedo-17631
ER -