Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process

Abstract

The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.

References in corpus (2)

• Large deviation asymptotics and control variates for simulating large functions
• Exponential growth of bifurcating processes with ancestral dependence

Cited by in corpus (1)

• Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes