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Izvestiya: Mathematics, 2010, Volume 74, Issue 1, Pages 189–216
DOI: https://doi.org/10.1070/IM2010v074n01ABEH002485
(Mi im738)
 

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
References:
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
Russian version:
Izvestiya Rossiiskoi Akademii Nauk. Seriya Matematicheskaya, 2010, Volume 74, Issue 1, Pages 197–224
DOI: https://doi.org/10.4213/im738
Bibliographic databases:
UDC: 519.2
MSC: Primary 60H05; Secondary 28C20, 60F10, 60J65
Language: English
Original paper language: Russian
Citation: V. R. Fatalov, “Exact asymptotics of Laplace-type Wiener integrals for $L^p$-functionals”, Izv. RAN. Ser. Mat., 74:1 (2010), 197–224; Izv. Math., 74:1 (2010), 189–216
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/im738
  • https://doi.org/10.1070/IM2010v074n01ABEH002485
  • https://www.mathnet.ru/eng/im/v74/i1/p197
  • This publication is cited in the following 8 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
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    Abstract page:806
    Russian version PDF:209
    English version PDF:13
    References:79
    First page:35
     
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