Large deviations for multiple Wiener-Itô integral processes

For m≥1 let Im(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 {ht, 0≤t≤1} which guarantee that the process Im(ht) has continuous sample paths and that the probabilit...

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Bibliographic Details
Main Authors: Mayer-Wolf, Eduardo, Nualart, David, Pérez-Abreu, Victor
Format: Book Chapter
Language:eng ; jpn
Subjects:
60F10
60G17
AMS 1985 Subject Classification
Hu-Meyer formula
Large Deviations
Multiple integral processes
Online Access:Get full text
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Summary:For m≥1 let Im(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 {ht, 0≤t≤1} which guarantee that the process Im(ht) has continuous sample paths and that the probability measures induced by εm/2Im(ht) satisfy a large deviations principle in C([0,1]).
ISSN:0075-8434
1617-9692
DOI:10.1007/BFb0084307