Large deviations for Gaussian processes in H\"older norm

V. R. Fatalov

Izvestiya. Mathematics , Tome 67 (2003) no. 5, pp. 1061-1079.

Résumé

Some results are proved on the exact asymptotic representation of large deviation probabilities for Gaussian processes in the Höder norm. The following classes of processes are considered: the Wiener process, the Brownian bridge, fractional Brownian motion, and stationary Gaussian processes with power-law covariance function. The investigation uses the method of double sums for Gaussian fields.

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