Large deviations for conditionally Gaussian processes: estimates of level crossing probability

DOI10.15559/18-VMSTA119zbMath1426.60034arXiv1902.02327OpenAlexW2897376485MaRDI QIDQ2326521

Alessandro Pigliacelli, Barbara Pacchiarotti

Publication date: 8 October 2019

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.02327

zbMATH Keywords

large deviationsruin problemconditionally Gaussian processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Large deviations (60F10) General theory of stochastic processes (60G07)

Related Items (2)

Some large deviations principles for time-changed Gaussian processes ⋮ Pathwise asymptotics for Volterra type stochastic volatility models

Cites Work

• The expected number of level crossings for stationary, harmonisable, symmetric, stable processes
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• Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
• Stochastic calculus. An introduction through theory and exercises
• Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes
• On Large Deviations for Small Noise Itô Processes
• Large deviations for conditional Volterra processes
• Exponential tightness for Gaussian processes, with applications to some sequences of weighted means
• Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models
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