pathwise asymptotics for volterra processes conditioned to a noisy version of the brownian motion
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ID: 148598
2020
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Abstract
In this paper we investigate a problem of large deviations for continuous Volterra processes under the influence of model disturbances. More precisely, we study the behavior, in the near future after T, of a Volterra process driven by a Brownian motion in a case where the Brownian motion is not directly observable, but only a noisy version is observed or some linear functionals of the noisy version are observed. Some examples are discussed in both cases.
| Reference Key |
pacchiarotti2020modernpathwise
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|---|---|
| Authors | ;Barbara Pacchiarotti |
| Journal | modern stochastics: theory and applications |
| Year | 2020 |
| DOI |
10.15559/20-VMSTA149
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