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

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.

preprint2023arXivOpen access
Paolo BaldiBarbara Pacchiarotti
math.PR
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Open access2 authors1 topic
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Paolo BaldiBarbara Pacchiarotti

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