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Fundamentalnaya i Prikladnaya Matematika, 2020, Volume 23, Issue 1, Pages 219–257 (Mi fpm1877)  

Supremum of the Euclidean norms of the multidimensional Wiener process and Brownian bridge: Sharp asymptotics of probabilities of large deviations

V. R. Fatalov
References:
Abstract: For $ T > 0 $, we prove theorems concerning sharp asymptotics of the probabilities
$$ \mathbf P \biggl\{ \sup\limits_{t \in [0, T]} \sum\limits_{j=1}^n w_j^2(t) > u^2 \biggr \}, \mathbf P \biggl \{ \sup\limits_{t \in [0, T]} \sum\limits_{j=1}^n w_{j0,T}^2(t) > u^2 \biggr \}, $$
as $u \to \infty$, where $ w_j(t) $, $ j = 1, \dots, n$, are independent Wiener processes and $ w_{j0,T}(t) $, $ j = 1, \dots, n $, are independent Brownian bridges on the segment $ [0, T] $. Our research method is the double sum method for the Gaussian processes and fields. We also give an application of the obtained results to the statistical tests for the homogeneity hypothesis of $k$ one-dimensional samples.
English version:
Journal of Mathematical Sciences (New York), 2022, Volume 262, Issue 4, Pages 546–573
DOI: https://doi.org/10.1007/s10958-022-05836-6
Document Type: Article
UDC: 519.2
Language: Russian
Citation: V. R. Fatalov, “Supremum of the Euclidean norms of the multidimensional Wiener process and Brownian bridge: Sharp asymptotics of probabilities of large deviations”, Fundam. Prikl. Mat., 23:1 (2020), 219–257; J. Math. Sci., 262:4 (2022), 546–573
Citation in format AMSBIB
\Bibitem{Fat20}
\by V.~R.~Fatalov
\paper Supremum of the Euclidean norms of the multidimensional Wiener process and Brownian bridge: Sharp asymptotics of probabilities of large deviations
\jour Fundam. Prikl. Mat.
\yr 2020
\vol 23
\issue 1
\pages 219--257
\mathnet{http://mi.mathnet.ru/fpm1877}
\transl
\jour J. Math. Sci.
\yr 2022
\vol 262
\issue 4
\pages 546--573
\crossref{https://doi.org/10.1007/s10958-022-05836-6}
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    Фундаментальная и прикладная математика
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