Large deviations for generalized conditioned Gaussian processes and their bridges

DOI10.19195/0208-4147.39.1.11zbMATH Open1484.60034OpenAlexW2969058976MaRDI QIDQ5227574FDOQ5227574

Authors: Barbara Pacchiarotti 

Publication date: 6 August 2019

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.19195/0208-4147.39.1.11

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zbMATH Keywords

large deviationsconditioned Gaussian processesGaussian bridge

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Differential equations driven by fractional Brownian motion
• Title not available (Why is that?)
• Integration with respect to fractal functions and stochastic calculus. I
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Title not available (Why is that?)
• Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
• Stochastic and multiple Wiener integrals for Gaussian processes
• Large deviation estimates of the crossing probability for pinned Gaussian processes
• Generalized Gaussian bridges
• Large deviations for conditional Volterra processes
• Exponential tightness for Gaussian processes, with applications to some sequences of weighted means
• Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes

Cited In (4)

• Pathwise asymptotics for Volterra type stochastic volatility models
• Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
• Large deviation estimates of the crossing probability for pinned Gaussian processes
• Large Deviation Principle for Bridges of Sub-Riemannian Diffusion Processes

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