Large Deviations of continuous Gaussian processes: from small noise to small time
Probability
2023-01-11 v3
Abstract
We investigate the Large Deviation behavior in small time of continuous Gaussian processes. We introduce a general procedure allowing to derive Large Deviation Principles in small time starting from the well understood context of Large Deviation Principles with a small parameter, going beyond the self-similar case. Several motivating examples are also treated.
Cite
@article{arxiv.2207.12037,
title = {Large Deviations of continuous Gaussian processes: from small noise to small time},
author = {Paolo Baldi and Barbara Pacchiarotti},
journal= {arXiv preprint arXiv:2207.12037},
year = {2023}
}