4 citations · 12 across the 19 of their papers we have counts for
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Asymptotic results for sums and extremes
Rita Giuliano, Claudio Macci, Barbara Pacchiarotti
The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability o…
Large Deviations of continuous Gaussian processes: from small noise to small time
Paolo Baldi, Barbara Pacchiarotti
We investigate the Large Deviation behavior in small time of continuous Gaussian processes. We introduce a general procedure allowing to derive Large Deviation Principles in small…
Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities
C. Macci, B. Pacchiarotti
The main results in this paper concern large deviations for families of non-Gaussian processes obtained as suitable perturbations of continuous centered multivariate Gaussian proce…
Short-time asymptotics for non self-similar stochastic volatility models
Giacomo Giorgio, Barbara Pacchiarotti, Paolo Pigato
We provide a short-time large deviation principle (LDP) for stochastic volatility models, where the volatility is expressed as a function of a Volterra process. This LDP does not r…