Large deviation probabilities for square-Gaussian stochastic processes
Estimates of large deviation probability for the class of square-Gaussian stochastic processes and some subclasses of this class are proposed. These subclasses of the class of square-Gaussian stochastic processes are determined by a function \(R(s),\) \(-a_{1}<s<a_{2},\) \(a_{1}>0,\) \(a_{2}>0,\) such that \[ \sup_{t\in T}{\mathbf E}\exp\{sX(t)/(\text{Var} X(t))^{1/2}\}\leq R(s). \] Square-Gaussian stochastic processes satisfy this inequality for all \(s,\) \(|s|<1,\) with the function \[ R(s)=Q(s)=(1-|s|)^{-1/2}\exp\{-|s|/2\}. \] Estimates for probability of large deviation of suprema of processes from these subclasses are obtained. These estimates are determined by the function \(R(s)\) and the function \(\sigma(h),\) \(h>0,\) such that \[ \sup_{\rho(t,s)\leq h}({\mathbf E}(X(t)-X(s))^{2})^{1/2}\leq \sigma(h). \] Estimates are more precise for more restricted classes of stochastic processes.
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