Large deviation estimates of the crossing probability for pinned Gaussian processes
Advances in Applied Probability, 40, 424-453, 2008 The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In particular, functional large deviation results are stated for small time. Several examples are co...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext bestellen |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | |
|---|---|
| container_issue | |
| container_start_page | |
| container_title | |
| container_volume | |
| creator | Caramellino, L Pacchiarotti, B |
| description | Advances in Applied Probability, 40, 424-453, 2008 The paper deals with the asymptotic behavior of the bridge of a Gaussian
process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In
particular, functional large deviation results are stated for small time.
Several examples are considered: integrated or not fractional Brownian motion,
$m$-fold integrated Brownian motion. As an application, the asymptotic behavior
of the exit probability is studied and used for the practical purpose of the
numerical computation, via Monte Carlo methods, of the hitting probability up
to a given time. |
| doi_str_mv | 10.48550/arxiv.math/0702573 |
| format | Article |
| fullrecord | <record><control><sourceid>arxiv_GOX</sourceid><recordid>TN_cdi_arxiv_primary_math_0702573</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>math_0702573</sourcerecordid><originalsourceid>FETCH-LOGICAL-a713-f85bd1083bf24d562e3f129e3874cb5b590425e912b5fa9e5248d5d08ba244f73</originalsourceid><addsrcrecordid>eNotj71OwzAUhb0woMITsJgHSOu_S5wRVdAiRWKge3QdX7eWShzZoaJv3xQ6neE7OjofY09SLI0FECvMv_G0_MbpsBK1UFDre_bVYt4T93SKOMU0cCpTnCtUeAp8OhDvcyolDns-5uTQxWOczjykzMc4DOT5Bn9mjsOV91QKlQd2F_BY6PGWC7Z7f9utt1X7uflYv7YV1lJXwYLzUljtgjIeXhTpIFVD2tamd-CgEUYBNVI5CNgQKGM9eGEdKmNCrRfs-X_2z6sb8_w7n7urX3fz0xegmk27</addsrcrecordid><sourcetype>Open Access Repository</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Large deviation estimates of the crossing probability for pinned Gaussian processes</title><source>arXiv.org</source><creator>Caramellino, L ; Pacchiarotti, B</creator><creatorcontrib>Caramellino, L ; Pacchiarotti, B</creatorcontrib><description>Advances in Applied Probability, 40, 424-453, 2008 The paper deals with the asymptotic behavior of the bridge of a Gaussian
process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In
particular, functional large deviation results are stated for small time.
Several examples are considered: integrated or not fractional Brownian motion,
$m$-fold integrated Brownian motion. As an application, the asymptotic behavior
of the exit probability is studied and used for the practical purpose of the
numerical computation, via Monte Carlo methods, of the hitting probability up
to a given time.</description><identifier>DOI: 10.48550/arxiv.math/0702573</identifier><language>eng</language><subject>Mathematics - Probability</subject><creationdate>2007-02</creationdate><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>228,230,776,881</link.rule.ids><linktorsrc>$$Uhttps://arxiv.org/abs/math/0702573$$EView_record_in_Cornell_University$$FView_record_in_$$GCornell_University$$Hfree_for_read</linktorsrc><backlink>$$Uhttps://doi.org/10.48550/arXiv.math/0702573$$DView paper in arXiv$$Hfree_for_read</backlink></links><search><creatorcontrib>Caramellino, L</creatorcontrib><creatorcontrib>Pacchiarotti, B</creatorcontrib><title>Large deviation estimates of the crossing probability for pinned Gaussian processes</title><description>Advances in Applied Probability, 40, 424-453, 2008 The paper deals with the asymptotic behavior of the bridge of a Gaussian
process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In
particular, functional large deviation results are stated for small time.
Several examples are considered: integrated or not fractional Brownian motion,
$m$-fold integrated Brownian motion. As an application, the asymptotic behavior
of the exit probability is studied and used for the practical purpose of the
numerical computation, via Monte Carlo methods, of the hitting probability up
to a given time.</description><subject>Mathematics - Probability</subject><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2007</creationdate><recordtype>article</recordtype><sourceid>GOX</sourceid><recordid>eNotj71OwzAUhb0woMITsJgHSOu_S5wRVdAiRWKge3QdX7eWShzZoaJv3xQ6neE7OjofY09SLI0FECvMv_G0_MbpsBK1UFDre_bVYt4T93SKOMU0cCpTnCtUeAp8OhDvcyolDns-5uTQxWOczjykzMc4DOT5Bn9mjsOV91QKlQd2F_BY6PGWC7Z7f9utt1X7uflYv7YV1lJXwYLzUljtgjIeXhTpIFVD2tamd-CgEUYBNVI5CNgQKGM9eGEdKmNCrRfs-X_2z6sb8_w7n7urX3fz0xegmk27</recordid><startdate>20070220</startdate><enddate>20070220</enddate><creator>Caramellino, L</creator><creator>Pacchiarotti, B</creator><scope>AKZ</scope><scope>GOX</scope></search><sort><creationdate>20070220</creationdate><title>Large deviation estimates of the crossing probability for pinned Gaussian processes</title><author>Caramellino, L ; Pacchiarotti, B</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-a713-f85bd1083bf24d562e3f129e3874cb5b590425e912b5fa9e5248d5d08ba244f73</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2007</creationdate><topic>Mathematics - Probability</topic><toplevel>online_resources</toplevel><creatorcontrib>Caramellino, L</creatorcontrib><creatorcontrib>Pacchiarotti, B</creatorcontrib><collection>arXiv Mathematics</collection><collection>arXiv.org</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Caramellino, L</au><au>Pacchiarotti, B</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Large deviation estimates of the crossing probability for pinned Gaussian processes</atitle><date>2007-02-20</date><risdate>2007</risdate><abstract>Advances in Applied Probability, 40, 424-453, 2008 The paper deals with the asymptotic behavior of the bridge of a Gaussian
process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In
particular, functional large deviation results are stated for small time.
Several examples are considered: integrated or not fractional Brownian motion,
$m$-fold integrated Brownian motion. As an application, the asymptotic behavior
of the exit probability is studied and used for the practical purpose of the
numerical computation, via Monte Carlo methods, of the hitting probability up
to a given time.</abstract><doi>10.48550/arxiv.math/0702573</doi><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext_linktorsrc |
| identifier | DOI: 10.48550/arxiv.math/0702573 |
| ispartof | |
| issn | |
| language | eng |
| recordid | cdi_arxiv_primary_math_0702573 |
| source | arXiv.org |
| subjects | Mathematics - Probability |
| title | Large deviation estimates of the crossing probability for pinned Gaussian processes |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-30T19%3A16%3A07IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-arxiv_GOX&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Large%20deviation%20estimates%20of%20the%20crossing%20probability%20for%20pinned%20Gaussian%20processes&rft.au=Caramellino,%20L&rft.date=2007-02-20&rft_id=info:doi/10.48550/arxiv.math/0702573&rft_dat=%3Carxiv_GOX%3Emath_0702573%3C/arxiv_GOX%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_id=info:pmid/&rfr_iscdi=true |