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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
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
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
Linking options:
https://www.mathnet.ru/eng/sm721https://doi.org/10.1070/SM2003v194n03ABEH000721 https://www.mathnet.ru/eng/sm/v194/i3/p61
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Abstract page: | 608 | Russian version PDF: | 225 | English version PDF: | 18 | References: | 87 | First page: | 1 |
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