Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion

Abstract

Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion, Authors: Barbara Pacchiarotti , 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.