pathwise asymptotics for volterra processes conditioned to a noisy version of the brownian motion
;Barbara Pacchiarotti
modern stochastics: theory and applications2020Vol. 7pp. 17-41
131
pacchiarotti2020modernpathwise
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.