Friday, April 21, 2017 at 3:30pm to 4:30pm
Kaprielian Hall (KAP), 414
3620 South Vermont Avenue, Los Angeles, CA 90089
Peter Baxendale, USC
Motivated by a problem in financial mathematics, we study the small time behavior of an additive functional of a fast diffusion process. The resulting behavior depends on the relative sizes of the small time and the speed of the diffusion. A simple time change converts the problem into one of moderate, or large, or very large deviations.