arXiv:2207.12037 Abstract | arXiv Analytics

arXiv:2207.12037 [math.PR]Abstract References Reviews Resources

Large Deviations of continuous Gaussian processes: from small noise to small time

Published 2022-07-25, updated 2022-08-09Version 2

We investigate the Large Deviation behavior in small time of continuous Gaussian processes. We introduce a general procedure allowing to derive Large Deviation Principles in small time starting from the well understood context of Large Deviation Principles with a small parameter, going beyond the self-similar case. Several motivating examples are also treated.

Categories: math.PR

Subjects: 60F10, 60G15, 60G22

Keywords: continuous gaussian processes, small time, small noise, large deviation behavior, derive large deviation principles

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