Ts. Chiang et Sj. Sheu, Large deviation of diffusion processes with discontinuous drift and their occupation times, ANN PROBAB, 28(1), 2000, pp. 140-165
where b is smooth except possibly along the hyperplane x(1) = 0, we shall c
onsider the large deviation principle for the law of the solution diffusion
process and its occupation time as epsilon --> 0. In other words, we consi
der P(\\X-epsilon - phi\\ < delta, \\u(epsilon) - psi\\ < delta) where u(ep
silon)(t) and psi(t) are the occupation times of XE and cp in the positive
half space {x epsilon R-d: x(1) > 0}, respectively. As a consequence, an un
ified approach of the lower level large deviation principle for the law of
X-epsilon(.) can be obtained.