Large deviations for sample paths of Gaussian processes quadratic variations
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 9, Tome 328 (2005), pp. 169-181
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We show a functional large deviations principle for the family of random functions
$$
\left\{V_n(x)=\sum_{k=1}^{[nx]}(Z_{k/n}-Z_{k-1/n})^2,\ x\in[0,1]\right\},
$$
where $\{Z_t,\,t\in[0,1]\}$ is a real valued centered Gaussian process.
@article{ZNSL_2005_328_a9,
author = {O. Perrin and M. Zani},
title = {Large deviations for sample paths of {Gaussian} processes quadratic variations},
journal = {Zapiski Nauchnykh Seminarov POMI},
pages = {169--181},
publisher = {mathdoc},
volume = {328},
year = {2005},
language = {en},
url = {http://geodesic.mathdoc.fr/item/ZNSL_2005_328_a9/}
}
O. Perrin; M. Zani. Large deviations for sample paths of Gaussian processes quadratic variations. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 9, Tome 328 (2005), pp. 169-181. http://geodesic.mathdoc.fr/item/ZNSL_2005_328_a9/