Large Deviation Approaches for the Numerical Computation of the Hitting Probability for Gaussian Processes
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| 024 | 7 | 0 | |a 10.1007/s11009-013-9364-5 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9364-5 | ||
| 245 | 0 | 0 | |a Large Deviation Approaches for the Numerical Computation of the Hitting Probability for Gaussian Processes |h [Elektronische Daten] |c [Lucia Caramellino, Barbara Pacchiarotti, Simone Salvadei] |
| 520 | 3 | |a We state large deviations for small time of a pinned n-conditional Gaussian process, i.e. the bridge of a Gaussian process conditioned to stay in n fixed points at n fixed past instants, by letting all the past monitoring instants to depend on the small parameter going to 0. Differently from what already developed in Caramellino and Pacchiarotti (Adv Appl Probab 40:424-453, 2008), this procedure is able to catch the dependence on the past observations. We apply the results to numerical experiments that involve the fractional Brownian motion, for the computation of the hitting probability through Monte Carlo methods. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Conditioned Gaussian processes |2 nationallicence | |
| 690 | 7 | |a Reproducing kernel Hilbert spaces |2 nationallicence | |
| 690 | 7 | |a Large deviations |2 nationallicence | |
| 690 | 7 | |a Exit time probabilities |2 nationallicence | |
| 690 | 7 | |a Monte Carlo methods |2 nationallicence | |
| 700 | 1 | |a Caramellino |D Lucia |u Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca, Scientifica 1, 00133, Roma, Italy |4 aut | |
| 700 | 1 | |a Pacchiarotti |D Barbara |u Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca, Scientifica 1, 00133, Roma, Italy |4 aut | |
| 700 | 1 | |a Salvadei |D Simone |u Università di Roma Tor Vergata, SEFEMEQ, Via Columbia 2, 00133, Roma, Italy |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 383-401 |x 1387-5841 |q 17:2<383 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9364-5 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9364-5 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Caramellino |D Lucia |u Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca, Scientifica 1, 00133, Roma, Italy |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Pacchiarotti |D Barbara |u Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca, Scientifica 1, 00133, Roma, Italy |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Salvadei |D Simone |u Università di Roma Tor Vergata, SEFEMEQ, Via Columbia 2, 00133, Roma, Italy |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 383-401 |x 1387-5841 |q 17:2<383 |1 2015 |2 17 |o 11009 | ||