Large Deviations of continuous Gaussian processes: from small noise to small time

MaRDI QIDQ6405925zbMATH OpenFDO

Authors Paolo Baldi, Barbara Pacchiarotti

Publication date 25 July 2022

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

Abstract: We investigate the Large Deviation behavior in small time of continuous Gaussian processes. We introduce a general procedure allowing 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.

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