In this paper we evaluate the conditional Yeh-Wiener integral E(F(x)∣ x(s, t) = ξ) for functions F of the form F(x) = exp{∫t 0 ∫s 0 φ(σ, τ, x(σ, τ)) dσ dτ}. The method we use to evaluate this ...

Abstract. The goal of this paper is to supplement the large deviation principle of the Freidlin–Wentzell theory on exit problems for diffusion processes with results of classical central limit theorem ...