Large deviations for conditional Volterra processes

DOI10.1080/07362994.2016.1237291zbMath1359.60041OpenAlexW2558960792MaRDI QIDQ2974038

Barbara Pacchiarotti, Federico Giorgi

Publication date: 6 April 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2016.1237291

zbMATH Keywords

large deviationsconditioned Gaussian processesGaussian bridge

Mathematics Subject Classification ID

Gaussian processes (60G15) Monte Carlo methods (65C05) Large deviations (60F10)

Related Items

Some large deviations principles for time-changed Gaussian processes ⋮ Asymptotics for multifactor Volterra type stochastic volatility models ⋮ Pathwise asymptotics for Volterra type stochastic volatility models ⋮ Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion ⋮ Large deviations for generalized conditioned Gaussian processes and their bridges ⋮ Large deviations for conditionally Gaussian processes: estimates of level crossing probability

Cites Work

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• Stochastic analysis of Gaussian processes via Fredholm representation
• Generalized Gaussian bridges
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Quadratic functionals and small ball probabilities for the \(m\)-fold integrated Brownian motion
• Representation of self-similar Gaussian processes
• Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes
• Continuous Disintegrations of Gaussian Processes
• On the existence of regular conditional probabilities

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