Title: An asymptotic factorization of the small-ball probability: Theory and applications
Authors: Jean-Baptiste Aubin - Insa-Lyon (France)
Enea Bongiorno - Universita del Piemonte Orientale (Italy) [presenting]
Aldo Goia - University of Eastern Piedmont Amedeo Avogadro (Italy)
Abstract: Recent results on an asymptotic factorization of the Small--Ball Probability (for a separable-Hilbert valued process), as the radius of the ball tends to zero are reviewed. This factorization involves a volumetric term, a pseudo-density for the probability law of the process, and a correction factor. Estimators of the latter two factors are introduced, some of their theoretical and practical aspects are illustrated.