Large deviations for conditionally Gaussian processes: estimates of level crossing probability
arXiv:1902.02327 · doi:10.15559/18-VMSTA119
Abstract
The problem of (pathwise) large deviations for conditionally continuous Gaussian processes is investigated. The theory of large deviations for Gaussian processes is extended to the wider class of random processes -- the conditionally Gaussian processes. The estimates of level crossing probability for such processes are given as an application.
Published at https://doi.org/10.15559/18-VMSTA119 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)