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Izvestiya: Mathematics, 2007, Volume 71, Issue 4, Pages 721–752
DOI: https://doi.org/10.1070/IM2007v071n04ABEH002373
(Mi im690)
 

This article is cited in 11 scientific papers (total in 11 papers)

Occupation times and exact asymptotics of small deviations of Bessel processes for $L^p$-norms with $p>0$

V. R. Fatalov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
References:
Abstract: We prove theorems on exact asymptotics of the distributions of integral functionals of the occupation time of Bessel processes. Using these results, we obtain exact asymptotics of small deviations for Bessel processes in the $L^p$-norm. We use Laplace's method for the occupation times of Markov processes with continuous time. Computations are carried out for $p=2$ and $p=1$. We also solve extremal problems for the action functional.
Received: 13.07.2004
Revised: 13.04.2006
Bibliographic databases:
UDC: 519.2
Language: English
Original paper language: Russian
Citation: V. R. Fatalov, “Occupation times and exact asymptotics of small deviations of Bessel processes for $L^p$-norms with $p>0$”, Izv. Math., 71:4 (2007), 721–752
Citation in format AMSBIB
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\by V.~R.~Fatalov
\paper Occupation times and exact asymptotics of small deviations of Bessel processes for
$L^p$-norms with $p>0$
\jour Izv. Math.
\yr 2007
\vol 71
\issue 4
\pages 721--752
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Linking options:
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  • https://doi.org/10.1070/IM2007v071n04ABEH002373
  • https://www.mathnet.ru/eng/im/v71/i4/p69
  • This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Известия Российской академии наук. Серия математическая Izvestiya: Mathematics
    Statistics & downloads:
    Abstract page:654
    Russian version PDF:322
    English version PDF:28
    References:75
    First page:4
     
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