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Problemy Peredachi Informatsii, 2014, Volume 50, Issue 4, Pages 79–99
(Mi ppi2155)
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This article is cited in 3 scientific papers (total in 3 papers)
Large Systems
Gaussian Ornstein–Uhlenbeck and Bogoliubov processes: asymptotics of small deviations for $L^p$-functionals, $0<p<\infty$
V. R. Fatalov Laboratory of Probability, Faculty of Mechanics and Mathematics, Lomonosov Moscow State University, Moscow, Russia
Abstract:
We prove results on sharp asymptotics of probabilities
$$
\mathbf P\Biggl\{\int_0^1|X(t)|^p\,dt<\varepsilon^p\Biggr\},\qquad\varepsilon\to0,
$$
where $0<p<\infty$, for three Gaussian processes $X(t)$, namely the stationary and nonstationary Ornstein–Uhlenbeck process and the Bogoliubov process. The analysis is based on the Laplace method for sojourn times of a Wiener process.
Received: 17.09.2014
Citation:
V. R. Fatalov, “Gaussian Ornstein–Uhlenbeck and Bogoliubov processes: asymptotics of small deviations for $L^p$-functionals, $0<p<\infty$”, Probl. Peredachi Inf., 50:4 (2014), 79–99; Problems Inform. Transmission, 50:4 (2014), 371–389
Linking options:
https://www.mathnet.ru/eng/ppi2155 https://www.mathnet.ru/eng/ppi/v50/i4/p79
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