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Izvestiya: Mathematics, 2012, Volume 76, Issue 3, Pages 626–646
DOI: https://doi.org/10.1070/IM2012v076n03ABEH002598
(Mi im6594)
 

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
References:
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
Russian version:
Izvestiya Rossiiskoi Akademii Nauk. Seriya Matematicheskaya, 2012, Volume 76, Issue 3, Pages 203–224
DOI: https://doi.org/10.4213/im6594
Bibliographic databases:
Document Type: Article
UDC: 519.2
MSC: 60F10, 60J05, 60J65
Language: English
Original paper language: Russian
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
Citation in format AMSBIB
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  • https://doi.org/10.1070/IM2012v076n03ABEH002598
  • https://www.mathnet.ru/eng/im/v76/i3/p203
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Известия Российской академии наук. Серия математическая Izvestiya: Mathematics
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    Abstract page:563
    Russian version PDF:185
    English version PDF:24
    References:73
    First page:8
     
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