pathwise asymptotics for volterra processes conditioned to a noisy version of the brownian motion

pathwise asymptotics for volterra processes conditioned to a noisy version of the brownian motion

;Barbara Pacchiarotti
modern stochastics: theory and applications 2020 Vol. 7 pp. 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.

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