Some Large Deviations Principles for Time-Changed Gaussian Processes

被引：0
作者：
Barbara Pacchiarotti
机构：
[1] Università di Roma “Tor Vergata”,Dipartimento di Matematica
来源：
Lithuanian Mathematical Journal | 2020年 / 60卷
关键词：
time-changed Gaussian processes; subordinated Gaussian processes; large deviations; 60F10; 60G15; 60G52;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Abstract. Let X = (X(t))t≥0 (X(0) = 0) be a continuous centered Gaussian process on a probability space (Ω,F,P), and let (Yt)t∈[0,1] (Y0 = 0) be a continuous process (on the same probability space) with nondecreasing paths, independent of X. Define the time-changed Gaussian process Zt = X(Yt), t ∈ [0, 1]. In this paper, we investigate a problem of finite-dimensional large deviations and a problem of pathwise large deviations for time-changed continuous Gaussian processes. As applications, we considered subordinated Gaussian processes.
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页码：513 / 529
页数：16
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