Refined Large Deviation Principle for Branching Brownian Motion Conditioned to Have a Low Maximum
Yanjia Bai, Lisa Hartung

TL;DR
This paper investigates the effects of conditioning a branching Brownian motion to have a low maximum, analyzing how early or late branching times and locations are affected, and deriving precise large deviation estimates.
Contribution
It provides a refined large deviation principle for branching Brownian motion conditioned on a low maximum, including optimal first branching time and location under additional constraints.
Findings
Large deviation estimates for low maximum conditioning
Optimal first branching time identified
Impact of initial branching location analyzed
Abstract
Conditioning a branching Brownian motion to have an atypically low maximum leads to a suppression of the branching mechanism. In this note, we consider a branching Brownian motion conditioned to have a maximum below (). We study the precise effects of an early/late first branching time and a low/high first branching location under this condition. We do so by imposing additional constraints on the first branching time and location. We obtain large deviation estimates, as well as the optimal first branching time and location given the additional constraints.
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Taxonomy
TopicsStochastic processes and statistical mechanics · Stochastic processes and financial applications
