Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
Volume 7, Issue 1 (2020), pp. 17–41
Pub. online: 27 February 2020
Type: Research Article
Open Access
Open Access
Received
30 July 2019
30 July 2019
Revised
30 November 2019
30 November 2019
Accepted
10 February 2020
10 February 2020
Published
27 February 2020
27 February 2020
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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