LARGE DEVIATIONS FOR GENERALIZED CONDITIONED GAUSSIAN PROCESSES AND THEIR BRIDGES

被引：2

作者：

Pacchiarotti, Barbara ^{[1
]}

机构：

[1] Univ Tor Vergata, Dept Math, Via Ric Sci, I-00133 Rome, Italy

来源：

PROBABILITY AND MATHEMATICAL STATISTICS-POLAND | 2019年 / 39卷 / 01期

关键词：

Conditioned Gaussian processes; Gaussian bridge; large deviations; PROBABILITY;

D O I：

10.19195/0208-4147.39.1.11

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the asymptotic behavior of a Gaussian process conditioned to 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.

引用

页码：159 / 181

页数：23

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