A note on LDP for supremum of Gaussian processes over infinite horizon

Krzysztof Debicki

Statistics & Probability Letters, 1999, vol. 44, issue 3, 211-219

Abstract: The aim of this paper is to give a short proof of a large deviation result for supremum of nencentered Gaussian process over infinite horizon. We study family {[mu]X,d;u; u>0} of Borel probability measures on , wherefor Borel , drift function d(t) and centered Gaussian processes {X(t); t[greater-or-equal, slanted]0} with variance function [sigma]2(t). We assume that for each 0 0}.

Keywords: Brownian; motion; Exponential; bound; Fractional; Brownian; motion; Gaussian; process; Large; deviation; Logarithmic; asymptotic; Long; range; dependence (search for similar items in EconPapers)
Date: 1999
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