Large deviation estimates of the crossing probability for pinned Gaussian processes

DOI10.1239/AAP/1214950211zbMATH Open1143.60307arXivmath/0702573OpenAlexW2120181337MaRDI QIDQ3516397FDOQ3516397

Lucia Caramellino, Barbara Pacchiarotti

Publication date: 5 August 2008

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In particular, functional large deviation results are stated for small time. Several examples are considered: integrated or not fractional Brownian motion, $m$-fold integrated Brownian motion. As an application, the asymptotic behavior of the exit probability is studied and used for the practical purpose of the numerical computation, via Monte Carlo methods, of the hitting probability up to a given time.

Full work available at URL: https://arxiv.org/abs/math/0702573

zbMATH Keywords

reproducing kernel Hilbert spaceslarge deviationsMonte Carlo methodconditioned Gaussian processexit time probability

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15)

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Cited In (7)

• Large deviations for generalized conditioned Gaussian processes and their bridges
• Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
• Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
• On Sharp Large Deviations for the Bridge of a General Diffusion
• Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes
• Asymptotic of the running maximum distribution of a Gaussian Bridge
• On the first-passage times of certain Gaussian processes, and related asymptotics

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