Some Large Deviations Principles for Time-Changed Gaussian Processes

Abstract

LetX= (X(t))(t >= 0)(X(0) = 0) be a continuous centered Gaussian process on a probability space (omega,F,P), and let (Y-t)(t is an element of)[0,1] (Y-0= 0) be a continuous process (on the same probability space) with nondecreasing paths, independent ofX. Define the time-changed Gaussian processZ(t)=X(Y-t),t is an element of [0,1]. In this paper, we investigate a problem of finite-dimensional large deviations and a problem of pathwise large deviations for time-changed continuous Gaussian processes. As applications, we considered subordinated Gaussian processes.