We study the asymptotic behavior of a Gaussian process conditioned to $n $ linear functionals of its paths and of the bridge of such a process. In particular, functional large deviation results are stated for small time. Two examples are considered.
Pacchiarotti, B. (2019). Large deviations for generalized conditioned Gaussian processes and their bridges. PROBABILITY AND MATHEMATICAL STATISTICS, 39(1), 159-181 [10.19195/0208-4147.39.1.11].
Large deviations for generalized conditioned Gaussian processes and their bridges
Pacchiarotti, Barbara
2019-06-01
Abstract
We study the asymptotic behavior of a Gaussian process conditioned to $n $ linear functionals of its paths and of the bridge of such a process. In particular, functional large deviation results are stated for small time. Two examples are considered.File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
2019PacchiarottiPMS.pdf
solo utenti autorizzati
Tipologia:
Versione Editoriale (PDF)
Licenza:
Copyright dell'editore
Dimensione
137.73 kB
Formato
Adobe PDF
|
137.73 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
