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This article is cited in 1 scientific paper (total in 1 paper)
Negative-order moments for $L^p$-functionals of Wiener processes: exact asymptotics
V. R. Fatalov M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
We prove theorems on the exact asymptotics as $T \to \infty$ of the integrals
$\mathsf{E}\bigl[\frac{1}{T}\!\int_0^T\!|\eta(t)|^pdt\bigr]^{-T}$, $p>0$,
for two stochastic processes $\xi(t)$, the Wiener process and the
Brownian bridge, as well as for their conditional versions. We also obtain
a number of related results. We shall use the Laplace method for
the occupation times of homogeneous Markov processes. We write the constants
in our exact asymptotic formulae explicitly in terms of the minimal eigenvalue
and corresponding eigenfunction for the Schrödinger operator with
a potential of polynomial type.
Keywords:
large deviations, occupaton time of Markov processes, Schrödinger operator,
action functional, Fréchet differentiation.
Received: 28.12.2010
Citation:
V. R. Fatalov, “Negative-order moments for $L^p$-functionals of Wiener processes: exact asymptotics”, Izv. RAN. Ser. Mat., 76:3 (2012), 203–224; Izv. Math., 76:3 (2012), 626–646
Linking options:
https://www.mathnet.ru/eng/im6594https://doi.org/10.1070/IM2012v076n03ABEH002598 https://www.mathnet.ru/eng/im/v76/i3/p203
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Abstract page: | 563 | Russian version PDF: | 185 | English version PDF: | 24 | References: | 73 | First page: | 8 |
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