Large deviations for generalized conditioned Gaussian processes and their bridges

  1. Barbara Pacchiarotti

Abstract

We study the asymptotic behavior of a Gaussian process conditioned to n linear functionals of its paths and of the bridge of such a process. In particular, functional large deviation results are stated for small time. Two examples are considered.

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Probability and Mathematical Statistics

39, z. 1, 2019

Pages from 159 to 181

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