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This article is cited in 19 scientific papers (total in 19 papers)
The Laplace method for small deviations of Gaussian processes of Wiener type
V. R. Fatalov M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
Results on the exact asymptotics of the probabilities
$$
\mathsf P\biggl\{\,\int_0^1|\xi(t)|^p\,dt \le\varepsilon^p\biggr\},\qquad\varepsilon\to 0,
$$
for $p>0$ are proved for two Gaussian processes $\xi(t)$: the Wiener process and the Brownian bridge. The method of study is the Laplace method in Banach spaces and the approach to the probabilities of small deviations based on the theory of large deviations for the occupation time. The calculations are carried out for the cases $p=1$ and $p=2$ as a result of solving the extremal problem for the action functional and studying the corresponding Schrödinger equations.
Received: 05.09.2003 and 24.08.2004
Citation:
V. R. Fatalov, “The Laplace method for small deviations of Gaussian processes of Wiener type”, Mat. Sb., 196:4 (2005), 135–160; Sb. Math., 196:4 (2005), 595–620
Linking options:
https://www.mathnet.ru/eng/sm1289https://doi.org/10.1070/SM2005v196n04ABEH000893 https://www.mathnet.ru/eng/sm/v196/i4/p135
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Abstract page: | 648 | Russian version PDF: | 216 | English version PDF: | 18 | References: | 89 | First page: | 1 |
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