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arXiv · 2207.12037

Large Deviations of continuous Gaussian processes: from small noise to small time

Paolo Baldi·Barbara Pacchiarotti
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Abstract

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 time starting from the well understood context of Large Deviation Principles with a small parameter, going beyond the self-similar case. Several motivating examples are also treated.

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Paolo Baldi, Barbara Pacchiarotti. 2022-07-25. Large Deviations of continuous Gaussian processes: from small noise to small time. https://arxiv.org/abs/2207.12037

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