4 citations · 12 across the 19 of their papers we have counts for
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math.PR2019★ 4 cited
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…
math.PR2019★ 3 cited
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…