Large deviations for multiple Wiener-Itô integral processes

Eduardo Mayer-Wolf; David Nualart; Victor Pérez-Abreu

Séminaire de probabilités de Strasbourg (1992)

  • Volume: 26, page 11-31

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Mayer-Wolf, Eduardo, Nualart, David, and Pérez-Abreu, Victor. "Large deviations for multiple Wiener-Itô integral processes." Séminaire de probabilités de Strasbourg 26 (1992): 11-31. <http://eudml.org/doc/113788>.

@article{Mayer1992,
author = {Mayer-Wolf, Eduardo, Nualart, David, Pérez-Abreu, Victor},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Hu-Meyer formula; multiple Wiener-Itô integral; large deviation principle},
language = {eng},
pages = {11-31},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Large deviations for multiple Wiener-Itô integral processes},
url = {http://eudml.org/doc/113788},
volume = {26},
year = {1992},
}

TY - JOUR
AU - Mayer-Wolf, Eduardo
AU - Nualart, David
AU - Pérez-Abreu, Victor
TI - Large deviations for multiple Wiener-Itô integral processes
JO - Séminaire de probabilités de Strasbourg
PY - 1992
PB - Springer - Lecture Notes in Mathematics
VL - 26
SP - 11
EP - 31
LA - eng
KW - Hu-Meyer formula; multiple Wiener-Itô integral; large deviation principle
UR - http://eudml.org/doc/113788
ER -

References

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  4. [4] X. Fernique (1983): "Regularite de fonctions aleatoires non Gaussiennes", in Ecole d'Eté de Probabilités de Saint-Flour XI - 1981, (L.N. Math976), pp. 1-74, P.L. Hennequin, ed., SpringerBerlin-Heidelberg-New York. Zbl0507.60027MR722982
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  9. [9] H.P. McKean (1973): "Wiener's theory of nonlinear noise", in Stochastic Differential Equations, Proc. SIAM-AMS, 6, pp. 191-289. Zbl0273.60022MR356203
  10. [10] T. Mori and H. Oodaira (1986): "The law of the iterated logarithm for self-similar processes represented bu multiple Wiener integrals", Prob. Th. Rel. Fields, 71, pp. 367-391. Zbl0562.60033MR824710
  11. [11] T. Mori and H. Oodaira (1988): "Freidlin—Wentzell type estimates and the law of the iterated logarithm for a class of stochastic processes related to symmetric statistics", Yokohama Math. J., 36, pp. 123-130. Zbl0679.60037MR992615
  12. [12] D. Nualart and M. Zakai (1990): "Multiple Wiener—Itô integrals possessing a continuous extension", Prob. Th. Rel. Fields, 85, pp. 131-145. Zbl0685.60055MR1044305
  13. [13] A. Plikusas (1981): "Properties of the multiple Itô integral", Lithuanian Math. J., 21, pp. 184-191. Zbl0479.60060MR629070
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