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math.PR2015
Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes
Marina Kleptsyna, Alain Le Breton, Bernard Ycart
The Gärtner-Ellis condition for the square of an asymptotically stationary Gaussian process is established. The same limit holds for the conditional distri-bution given any fixed i…
math.PR2009
About Gaussian filtering problems with general exponential quadratic criteria
M. L. Keptsyna, A. Le Breton, M. Viot
Filtering problems with general exponential quadratic criteria are investigated for Gauss-Markov processes. In this setting, the Linear Exponential Gaussian and Risk-Sensitive filt…