4 citations · 4 across the 1 of their papers we have counts for
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Asymptotic results for linear combinations of spacings generated by i.i.d. exponential random variables
Camilla Calì, Maria Longobardi, Claudio Macci +1
We prove large (and moderate) deviations for a class of linear combinations of spacings generated by i.i.d. exponentially distributed random variables. We allow a wide class of coe…
Large deviations for a class of tempered subordinators and their inverse processes
Nikolai Leonenko, Claudio Macci, Barbara Pacchiarotti
We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The mai…
Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
Barbara Pacchiarotti
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 th…
Large deviations for conditionally Gaussian processes: estimates of level crossing probability
Barbara Pacchiarotti, Alessandro Pigliacelli
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…
Pathwise asymptotics for Volterra type stochastic volatility models
M. Cellupica, B. Pacchiarotti
We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large de…