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Large deviations for multiple Wiener-Itô integral processes

Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 1526)

Abstract

For m≥1 let I m (h) denote the multiple Wiener-Itô integral of order m of a square integrable symmetric kernel h. In this paper we consider different conditions on a time-dependent family of kernels {h t , 0≤t≤1} which guarantee that the process I m (h t ) has continuous sample paths and that the probability measures induced by εm/2 I m (h t ) satisfy a large deviations principle in C([0,1]).

Keywords

  • Multiple integral processes
  • Large Deviations
  • Hu-Meyer formula
  • AMS 1985 Subject Classification
  • 60F10
  • 60G17

Partially supported by the Technion VPR Bernstein fund for the promotion of research

Partially supported by CONACYT, Grant A128CCOE900047 (MT-2)

Partially supported by CONACYT, Grant D111-904237

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© 1992 Springer-Verlag

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Mayer-Wolf, E., Nualart, D., Pérez-Abreu, V. (1992). Large deviations for multiple Wiener-Itô integral processes. In: Azéma, J., Yor, M., Meyer, P.A. (eds) Séminaire de Probabilités XXVI. Lecture Notes in Mathematics, vol 1526. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0084307

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  • DOI: https://doi.org/10.1007/BFb0084307

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  • Print ISBN: 978-3-540-56021-0

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