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Couple $d{X}_t^{\epsilon }=b(X_t^{\epsilon })dt+\epsilon d{W}_t$ with ${\dot{x}}_t=b(x_t)$ and the same initial value. If $b$ has Lipschitz constant $L$, the Gronwall inequality gives ${\sup }_{s\le t}|X_s^{\epsilon }-x_s|\le \epsilon e^{Lt}{\sup }_{s\le t}|W_s|$. Applying the Gaussian maximal bound for Brownian motion coordinatewise in dimension $d$ bounds the deviation probability by $2d\exp [-{\delta }^2{e}^{-2Lt}/(2dt{\epsilon }^2)]$ for $t>0$. Matching initial values is essential.

For $\theta >0$, $E_s=\exp (\theta B_s-{\theta }^{2}s/2)$ is an Exponential martingale for Brownian motion, as follows directly from independent Gaussian increments. Stop it at ${\tau }_{\delta }\wedge t$, where ${\tau }_{\delta }$ is the first time $B$ reaches $\delta$. On $\{{\tau }_{\delta }\le t\}$,The stopped expectation is one and the other contribution is nonnegative, soFor $t>0$, minimize the exponent at $\theta =\delta /t$. Apply the same argument to $-B$ and use the union bound to obtainAt $t=0$ the probability is zero; the right side can be interpreted by its limit. This proves the Gaussian maximal bound for Brownian motion without losing an extra factor from a two-sided reflection argument.

Let $L$ be a global Lipschitz constant of $b$. Realize the diffusion with the stated generator by $d{X}_s^{\epsilon }=b(X_s^{\epsilon })ds+\epsilon d{W}_s$, where $W$ is a standard $d$-dimensional Brownian motion. Global Lipschitz continuity gives existence and uniqueness; its generator is exactly the printed operator. Couple it with the ordinary differential equation having the same initial value $x(0)=x_0$. Subtraction gives, with $D_t={\sup }_{s\le t}|X_s^{\epsilon }-x_s|$,The Gronwall inequality implies $D_t\le \epsilon e^{Lt}{\sup }_{s\le t}|W_s|$. If a Euclidean norm exceeds $u$, some coordinate has absolute value exceeding $u/\sqrt{d}$. The scalar bound and a union over the coordinates therefore giveTaking the logarithm and multiplying by ${\epsilon }^2$ yields the explicit answerFor $t=0$ the probability is zero and the limit is $-\infty$, with $\log 0=-\infty$. This is exponential small-noise concentration for a Lipschitz diffusion.

Matching the deterministic initial value is necessary. The printed last line specifies the differential equation but does not separately write this initial condition. Without it, take $b=0$ and a deterministic solution displaced from $x_0$ by $2\delta$ in one fixed direction. The deviation event already holds at time zero, giving logarithmic rate zero instead of a strictly negative rate.