Large deviations for generalized conditioned Gaussian processes and their bridges

DOI10.19195/0208-4147.39.1.11zbMath1484.60034OpenAlexW2969058976MaRDI QIDQ5227574

Barbara Pacchiarotti

Publication date: 6 August 2019

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.19195/0208-4147.39.1.11

zbMATH Keywords

large deviationsconditioned Gaussian processesGaussian bridge

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05) Large deviations (60F10)

Related Items (2)

Pathwise asymptotics for Volterra type stochastic volatility models ⋮ Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion

Cites Work

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• Differential equations driven by fractional Brownian motion
• Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
• Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes
• Large deviations for conditional Volterra processes
• Exponential tightness for Gaussian processes, with applications to some sequences of weighted means
• Large deviation estimates of the crossing probability for pinned Gaussian processes

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