In this articlewe investigate a problem of large deviations for continuous Gaussian Volterra processes, conditioned to follow a fixed trajectory up to a fixed time T > 0, in order to establish the behavior of the process in the near future after T and to give an asymptotic estimate of the exit probability of its bridge. Some examples are considered.
Giorgi, F., Pacchiarotti, B. (2017). Large deviations for conditional Volterra processes. STOCHASTIC ANALYSIS AND APPLICATIONS, 35(2), 191-210 [10.1080/07362994.2016.1237291].
Large deviations for conditional Volterra processes
PACCHIAROTTI, BARBARA
2017-01-01
Abstract
In this articlewe investigate a problem of large deviations for continuous Gaussian Volterra processes, conditioned to follow a fixed trajectory up to a fixed time T > 0, in order to establish the behavior of the process in the near future after T and to give an asymptotic estimate of the exit probability of its bridge. Some examples are considered.File in questo prodotto:
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