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.
giu-2019
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore MAT/06 - PROBABILITA' E STATISTICA MATEMATICA
English
conditioned Gaussian processes; Gaussian bridge; large deviations
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].
Pacchiarotti, B
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/214922
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