Abstract:
Let $w(t)$ be a standard Wiener process, $w(0)=0$, and let $\eta_a(t)=w(t+a)-w(t)$, $t\ge0$, be increments of the Wiener process, $a>0$. Let $Z_a(t)$, $t\in[0,2a]$, be a zeromean Gaussian stationary a.s. continuous process with a covariance function of the form $\mathbf EZ_a(t)Z_a(s)=\frac12[a-|t-s|]$, $t,s\in[0,2a]$. For $0<p<\infty$, we prove results on sharp asymptotics as $\varepsilon\to0$ of the probabilities
$$
\mathbf P\Biggl\{\int_0^T|\eta_a(t)|^p\,dt\le\varepsilon^p\Biggr\}\quad\text{для}\ T\le a,\qquad\mathbf P\Biggl\{\int_0^T|Z_a(t)|^p\,dt\le\varepsilon^p\Biggr\}\quad\text{для}\ T<2a,
$$
and compute similar asymptotics for the sup-norm. Derivation of the results is based on the method of comparing with a Wiener process. We present numerical values of the asymptotics in the case $p=1$, $p=2$, and for the sup-norm. We also consider application of the obtained results to one functional quantization problem of information theory.
Citation:
V. R. Fatalov, “Small deviations for two classes of Gaussian stationary processes and $L^p$-functionals, $0<p\le\infty$”, Probl. Peredachi Inf., 46:1 (2010), 68–93; Problems Inform. Transmission, 46:1 (2010), 62–85
\Bibitem{Fat10}
\by V.~R.~Fatalov
\paper Small deviations for two classes of Gaussian stationary processes and $L^p$-functionals, $0<p\le\infty$
\jour Probl. Peredachi Inf.
\yr 2010
\vol 46
\issue 1
\pages 68--93
\mathnet{http://mi.mathnet.ru/ppi2010}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2675299}
\transl
\jour Problems Inform. Transmission
\yr 2010
\vol 46
\issue 1
\pages 62--85
\crossref{https://doi.org/10.1134/S0032946010010060}
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Linking options:
https://www.mathnet.ru/eng/ppi2010
https://www.mathnet.ru/eng/ppi/v46/i1/p68
This publication is cited in the following 8 articles:
V. R. Fatalov, “Weighted $L^p$, $p\ge2$, for a wiener process: Exact asymptoties of small deviations”, Moscow University Mathematics Bulletin, 70:2 (2015), 68–73
V. R. Fatalov, “Gaussian Ornstein–Uhlenbeck and Bogoliubov processes: asymptotics of small deviations for $L^p$-functionals, $0<p<\infty$”, Problems Inform. Transmission, 50:4 (2014), 371–389
Kirichenko A.A., Nikitin Ya.Yu., “Precise Small Deviations in l-2 of Some Gaussian Processes Appearing in the Regression Context”, Cent. Eur. J. Math., 12:11 (2014), 1674–1686
V. R. Fatalov, “Ergodic means for large values of $T$ and exact asymptotics of small deviations for a multi-dimensional Wiener process”, Izv. Math., 77:6 (2013), 1224–1259
V. R. Fatalov, “Negative-order moments for $L^p$-functionals of Wiener processes: exact asymptotics”, Izv. Math., 76:3 (2012), 626–646
V. R. Fatalov, “Asymptotic behavior of small deviations for Bogoliubov's Gaussian measure in the $L^p$ norm, $2\le p\le\infty$”, Theoret. and Math. Phys., 173:3 (2012), 1720–1733
Mikhail Lifshits, SpringerBriefs in Mathematics, Lectures on Gaussian Processes, 2012, 1
V. R. Fatalov, “Laplace-type exact asymptotic formulas for the Bogoliubov Gaussian measure”, Theoret. and Math. Phys., 168:2 (2011), 1112–1149