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...

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Hauptverfasser:	Caramellino, L, Pacchiarotti, B
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Probability
Online-Zugang:	Volltext bestellen
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