Abstract:
A general result is obtained on exact
asymptotics of the probabilities
P{∫10|ξ(t)|pdt>up}
as u→∞ and p>0 for Gaussian processes ξ(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 η(t):=w(t+1)−w(t),
t∈R1.
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.
Citation:
V. R. Fatalov, “Asymptotics of large deviations of
Gaussian processes of Wiener type for Lp-functionals, p>0,
and the hypergeometric function”, Sb. Math., 194:3 (2003), 369–390
\Bibitem{Fat03}
\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
\jour Sb. Math.
\yr 2003
\vol 194
\issue 3
\pages 369--390
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Linking options:
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This publication is cited in the following 9 articles:
FuChang Gao, XiangFeng Yang, “Upper tail probabilities of integrated Brownian motions”, Sci. China Math, 2015
V. R. Fatalov, “Exact asymptotics of Laplace-type Wiener integrals for Lp-functionals”, Izv. Math., 74:1 (2010), 189–216
V. R. Fatalov, “Exact Asymptotics of Distributions of Integral Functionals of the Geometric Brownian Motion and Other Related Formulas”, Problems Inform. Transmission, 43:3 (2007), 233–254
Louchard G., Janson S., “Tail estimates for the Brownian excursion area and other Brownian areas”, Electron. J. Probab., 12:58 (2007), 1600–1632
Svante Janson, Guy Louchard, “Tail estimates for the Brownian excursion area and other Brownian areas”, Electron. J. Probab., 12:none (2007)
Fatalov V.P., “Letter to the Editors”, Theory Probab. Appl., 51:3 (2007), 561–563
V. R. Fatalov, “Exact Asymptotics of Large Deviations of Stationary Ornstein–Uhlenbeck
Processes for Lp-Functional, p>0”, Problems Inform. Transmission, 42:1 (2006), 46–63
V. R. Fatalov, “The Laplace method for small deviations of Gaussian processes of Wiener type”, Sb. Math., 196:4 (2005), 595–620
V. R. Fatalov, “Large deviations for Gaussian processes in Hölder norm”, Izv. Math., 67:5 (2003), 1061–1079