Large deviations of infinite intersections of events in Gaussian processes
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- Dieker, A.B., 2005. "Conditional limit theorems for queues with Gaussian input, a weak convergence approach," Stochastic Processes and their Applications, Elsevier, vol. 115(5), pages 849-873, May.
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Cited by:
- Norros, Ilkka & Saksman, Eero, 2009. "Local independence of fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3155-3172, October.
- Lucia Caramellino & Barbara Pacchiarotti & Simone Salvadei, 2015. "Large Deviation Approaches for the Numerical Computation of the Hitting Probability for Gaussian Processes," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 383-401, June.
- Braunsteins, Peter & Mandjes, Michel, 2023. "The Cramér-Lundberg model with a fluctuating number of clients," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 1-22.
- Martin Zubeldia & Michel Mandjes, 2021. "Large deviations for acyclic networks of queues with correlated Gaussian inputs," Queueing Systems: Theory and Applications, Springer, vol. 98(3), pages 333-371, August.
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Keywords
Sample-path large deviations Dominating point Reproducing kernel Hilbert space Minimum norm problem Fractional Brownian motion Busy period;Statistics
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