Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion

Barbara Pacchiarotti

doi:10.15559/20-VMSTA149

Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion

Probability 2020-03-30 v1

Authors: Barbara Pacchiarotti

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Abstract

In this paper we investigate a problem of large deviations for continuous Volterra processes under the influence of model disturbances. More precisely, we study the behavior, in the near future after $T$ , of a Volterra process driven by a Brownian motion in a case where the Brownian motion is not directly observable, but only a noisy version is observed or some linear functionals of the noisy version are observed. Some examples are discussed in both cases.

Keywords

volterra processes large deviations brownian motion noisy observation linear functionals pathwise asymptotics

Cite

@article{arxiv.2003.12334,
  title  = {Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion},
  author = {Barbara Pacchiarotti},
  journal= {arXiv preprint arXiv:2003.12334},
  year   = {2020}
}

Comments

Published at https://doi.org/10.15559/20-VMSTA149 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)

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