Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion

Barbara Pacchiarotti

doi:10.15559/20-VMSTA149

paper

Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion

arXiv:2003.12334 · doi:10.15559/20-VMSTA149

Abstract

In this paper we investigate a problem of large deviations for continuous Volterra processes under the influence of model disturbances. More precisely, we study the behavior, in the near future after $T$ , of a Volterra process driven by a Brownian motion in a case where the Brownian motion is not directly observable, but only a noisy version is observed or some linear functionals of the noisy version are observed. Some examples are discussed in both cases.

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