论文信息 - A note on LDP for supremum of Gaussian processes over infinite horizon

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

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}.

Krzysztof Dȩbicki

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