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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 39, Fasc. 11,
pages 159 - 181
DOI: 10.19195/0208-4147.39.1.11
 

LARGE DEVIATIONS FOR GENERALIZED CONDITIONED GAUSSIAN PROCESSES AND THEIR BRIDGES

Barbara Pacchiarotti

Abstract: We study the asymptotic behavior of a Gaussian process conditioned to n linear functionals of its paths and of the bridge of such a process. In particular, functional large deviation results are stated for small time. Two examples are considered.

2000 AMS Mathematics Subject Classification: Primary: 60F10, 60G15; Secondary: 65C05.

Keywords and phrases: Conditioned Gaussian processes, Gaussian bridge, large deviations.

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