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Large deviations for stationary Gaussian processes

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Abstract

In their previous work on large deviations the authors always assumed the base process to be Markovian whereas here they consider the base process to be stationary Gaussian. Similar large deviation results are obtained under natural hypotheses on the spectral density function of the base process. A rather explicit formula for the entropy involved is also obtained.

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References

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Authors and Affiliations

  1. Courant Institute of Mathematical Sciences, New York University, 10012, New York, NY, USA

    M. D. Donsker & S. R. S. Varadhan

Authors
  1. M. D. Donsker
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  2. S. R. S. Varadhan
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Additional information

Communicated by A. Jaffe

The research in this paper was supported by the National Science Foundation, Grant No. MCS-80-02568

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Donsker, M.D., Varadhan, S.R.S. Large deviations for stationary Gaussian processes. Commun.Math. Phys. 97, 187–210 (1985). https://doi.org/10.1007/BF01206186

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  • DOI: https://doi.org/10.1007/BF01206186

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