LARGE DEVIATIONS FOR GENERALIZED CONDITIONED GAUSSIAN
PROCESSES AND THEIR BRIDGES
Abstract: We study the asymptotic behavior of a Gaussian process conditioned to linear
functionals of its paths and of the bridge of such a process. In particular, functional
large deviation results are stated for small time. Two examples are considered.
2000 AMS Mathematics Subject Classification: Primary: 60F10, 60G15; Secondary:
Keywords and phrases: Conditioned Gaussian processes, Gaussian bridge, large