We investigate the Large Deviation behaviour in small time of continuous Gaussian processes. We introduce a general procedure allowing us to derive Large Deviation Principles in small time starting from the well understood context of Large Deviation Principles with a small parameter, going beyond the self-similar case. Several motivating examples are also treated.
Baldi, P., Pacchiarotti, B. (2026). Large deviations of continuous Gaussian processes: from small noise to small time. STOCHASTICS, 98(4), 571-600 [10.1080/17442508.2025.2593360].
Large deviations of continuous Gaussian processes: from small noise to small time
Baldi P.;Pacchiarotti B.
2026-01-01
Abstract
We investigate the Large Deviation behaviour in small time of continuous Gaussian processes. We introduce a general procedure allowing us to derive Large Deviation Principles in small time starting from the well understood context of Large Deviation Principles with a small parameter, going beyond the self-similar case. Several motivating examples are also treated.File in questo prodotto:
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