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This article is cited in 8 scientific papers (total in 8 papers)
Exact asymptotics of Laplace-type Wiener integrals for $L^p$-functionals
V. R. Fatalov
Abstract:
We prove theorems on the exact asymptotic behaviour of the integrals
$$
\mathsf{E}\exp\biggl\{u\biggl(\int_0^1|\xi(t)|^p\,dt\biggr)^{\alpha/p}\biggr\},
\quad
\mathsf{E}\exp\biggl\{-u\int_0^1|\xi(t)|^p\,dt\biggr\},
\qquad
u\to\infty,
$$
for $p>0$ and $0<\alpha<2$ for two random processes $\xi(t)$,
namely, the Wiener process and the Brownian bridge, and obtain other
related results. Our approach is via the Laplace method for
infinite-dimensional distributions, namely, Gaussian measures
and the occupation time for Markov processes.
Keywords:
large deviation, Gaussian process, Markov process, occupation time, covariance operator, generating operator, Schrödinger operator, hypergeometric function.
Received: 28.12.2005 Revised: 19.10.2007
Citation:
V. R. Fatalov, “Exact asymptotics of Laplace-type Wiener integrals for $L^p$-functionals”, Izv. Math., 74:1 (2010), 189–216
Linking options:
https://www.mathnet.ru/eng/im738https://doi.org/10.1070/IM2010v074n01ABEH002485 https://www.mathnet.ru/eng/im/v74/i1/p197
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Abstract page: | 849 | Russian version PDF: | 219 | English version PDF: | 21 | References: | 91 | First page: | 35 |
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