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This article is cited in 24 scientific papers (total in 24 papers)
Constants in the asymptotics of small deviation probabilities for Gaussian processes and fields
V. R. Fatalov M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
This paper presents a survey of results on computing the small deviation asymptotics for Gaussian measures, that is, the asymptotics of the probabilities
$$
\mu(\varepsilon D), \qquad \varepsilon\to0,
$$
where $D$ is a bounded domain in a Banach space $(B,{\|\cdot\|})$ (for example, $D=\{x\in B:\|x\|\leqslant 1\}$) and $\mu$ a Gaussian measure on $B$.
The main attention is focused on calculating the values of constants in the exact or logarithmic asymptotics. The survey contains new numerical results; some erroneous assertions in previous papers on this topic are also noted.
The following classes of Gaussian processes and fields are studied in detail: Wiener processes and related processes, Brownian bridges, Bessel processes, vector Wiener processes, Gaussian Markov processes, Gaussian processes with stationary increments, fractional Ornstein–Uhlenbeck processes, $n$-parameter fractional Brownian motion, $n$-parameter Wiener–Chentsov fields, and the Wiener pillow. Results on small deviations are presented in diverse norms, namely, the sup-norm, Hilbert norms, $L^p$-norms, Hölder norms, Orlicz norms,
and weighted sup-norms.
About 30 problems concerned with finding exact constants in asymptotic expressions for small deviations are posed.
The relation to Chung's law of the iterated logarithm is also considered, and a number of other results are presented.
Received: 27.11.2001
Citation:
V. R. Fatalov, “Constants in the asymptotics of small deviation probabilities for Gaussian processes and fields”, Russian Math. Surveys, 58:4 (2003), 725–772
Linking options:
https://www.mathnet.ru/eng/rm643https://doi.org/10.1070/RM2003v058n04ABEH000643 https://www.mathnet.ru/eng/rm/v58/i4/p89
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Abstract page: | 810 | Russian version PDF: | 209 | English version PDF: | 57 | References: | 97 | First page: | 2 |
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