A note on LDP for supremum of Gaussian p
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Krzysztof DΘ©bicki
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Article
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1999
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Elsevier Science
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English
β 98 KB
The aim of this paper is to give a short proof of a large deviation result for supremum of nencentered Gaussian process over inΓΏnite horizon. We study family { X; d; u ; u ΒΏ 0} of Borel probability measures on R, where for Borel B β R, drift function d(t) and centered Gaussian processes {X (t); tΒΏ0