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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
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
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
Linking options:
https://www.mathnet.ru/eng/im690https://doi.org/10.1070/IM2007v071n04ABEH002373 https://www.mathnet.ru/eng/im/v71/i4/p69
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Abstract page: | 654 | Russian version PDF: | 322 | English version PDF: | 28 | References: | 75 | First page: | 4 |
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