Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities

arXiv2205.10547MaRDI QIDQ6399765FDOQ6399765

Publication date: 21 May 2022

Abstract: The main results in this paper concern large deviations for families of non-Gaussian processes obtained as suitable perturbations of continuous centered multivariate Gaussian processes which satisfy a large deviation principle. We present some corollaries and, as a consequence, we obtain logarithmic asymptotic estimates for exit probabilities from suitable halfspaces and quadrants.

Mathematics Subject Classification ID

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

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