Large deviation estimates of the crossing probability for pinned Gaussian processes

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

Authors Lucia Caramellino, Barbara Pacchiarotti 

Publication date 5 August 2008

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

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)

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.

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Cites work

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• Gaussian bridges
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• Local independence of fractional Brownian motion
• Mixed fractional Brownian motion
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• Quadratic functionals and small ball probabilities for the \(m\)-fold integrated Brownian motion
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Cited in

(12)

• On sharp large deviations for the bridge of a general diffusion
• Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
• Large deviations of conditioned diffusions and applications
• Large deviations for generalized conditioned Gaussian processes and their bridges
• Asymptotic of the running maximum distribution of a Gaussian Bridge
• On the first-passage times of certain Gaussian processes, and related asymptotics
• Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes
• Large deviations estimates for some level crossing probabilities in Bayesian setting
• Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities
• Large deviations for conditionally Gaussian processes: estimates of level crossing probability
• Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
• Asymptotics of hitting probabilities for general one-dimensional pinned diffusions

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