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Sbornik: Mathematics, 2003, Volume 194, Issue 3, Pages 369–390
DOI: https://doi.org/10.1070/SM2003v194n03ABEH000721
(Mi sm721)
 

This article is cited in 9 scientific papers (total in 9 papers)

Asymptotics of large deviations of Gaussian processes of Wiener type for $L^p$-functionals, $p>0$, and the hypergeometric function

V. R. Fatalov

M. V. Lomonosov Moscow State University
References:
Abstract: A general result is obtained on exact asymptotics of the probabilities
$$ \mathsf P\biggl\{\int_0^1|\xi(t)|^p\,dt>u^p\biggr\} $$
as $u\to\infty$ and $p>0$ for Gaussian processes $\xi(t)$.
The general theorem is applied for the calculation of these asymptotics in the cases of the following processes: the Wiener process $w(t)$, the Brownian bridge, and the stationary Gaussian process $\eta(t):=w(t+1)-w(t)$, $t\in\mathbb R^1$.
The Laplace method in Banach spaces is used. The calculations of the constants reduce to solving an extremum problem for the action functional and studying the spectrum of a differential operator of the second order of Sturm–Liouville type.
Received: 23.05.2002
Russian version:
Matematicheskii Sbornik, 2003, Volume 194, Number 3, Pages 61–82
DOI: https://doi.org/10.4213/sm721
Bibliographic databases:
UDC: 519.2
MSC: Primary 60F10; Secondary 60G10, 60G15, 60J65
Language: English
Original paper language: Russian
Citation: V. R. Fatalov, “Asymptotics of large deviations of Gaussian processes of Wiener type for $L^p$-functionals, $p>0$, and the hypergeometric function”, Mat. Sb., 194:3 (2003), 61–82; Sb. Math., 194:3 (2003), 369–390
Citation in format AMSBIB
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\by V.~R.~Fatalov
\paper Asymptotics of large deviations of
Gaussian processes of Wiener type for $L^p$-functionals, $p>0$,
and the~hypergeometric function
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\vol 194
\issue 3
\pages 61--82
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\transl
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  • https://www.mathnet.ru/eng/sm/v194/i3/p61
  • This publication is cited in the following 9 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Математический сборник - 1992–2005 Sbornik: Mathematics
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    English version PDF:18
    References:87
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