Large deviations of continuous Gaussian processes: from small noise to small time
Paolo Baldi, Barbara Pacchiarotti · Stochastics · 2025
We investigate the Large Deviation behaviour in small time of continuous Gaussian processes. We introduce a general procedure allowing us to derive Large Deviation Principles in small time starting from the well understood context of Large Deviation Principles with a small parameter, going beyond the self-similar case. Several motivating examples are also treated.