Large deviations for multiple Wiener-Itô integral processes View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

1992

AUTHORS

Eduardo Mayer-Wolf , David Nualart , Victor Pérez-Abreu

ABSTRACT

For m≥1 let I m (h) denote the multiple Wiener-Itô integral of order m of a square integrable symmetric kernel h. In this paper we consider different conditions on a time-dependent family of kernels {h t , 0≤t≤1} which guarantee that the process I m (h t ) has continuous sample paths and that the probability measures induced by ε m/2 I m (h t ) satisfy a large deviations principle in C([0,1]). More... »

PAGES

11-31

References to SciGraph publications

  • 1988. Sur les integrales multiples de Stratonovitch in SÉMINAIRE DE PROBABILITÉS XXII
  • 1981-04. Properties of multiple Itô integrals in LITHUANIAN MATHEMATICAL JOURNAL
  • 1990-03. Multiple Wiener-Ito integrals possessing a continuous extension in PROBABILITY THEORY AND RELATED FIELDS
  • 1986-09. The law of the iterated logarithm for self-similar processes represented by multiple wiener integrals in PROBABILITY THEORY AND RELATED FIELDS
  • 1978. Tail probabilities in Gauss space in VECTOR SPACE MEASURES AND APPLICATIONS I
  • Book

    TITLE

    Séminaire de Probabilités XXVI

    ISBN

    978-3-540-56021-0
    978-3-540-47342-8

    Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/bfb0084307

    DOI

    http://dx.doi.org/10.1007/bfb0084307

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1009128488


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