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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 LpLp-functionals, p>0p>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
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), tR1.
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
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 Lp-functionals, p>0, and the hypergeometric function”, Sb. Math., 194:3 (2003), 369–390
Citation in format AMSBIB
\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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\crossref{https://doi.org/10.1070/SM2003v194n03ABEH000721}
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Linking options:
  • https://www.mathnet.ru/eng/sm721
  • https://doi.org/10.1070/SM2003v194n03ABEH000721
  • https://www.mathnet.ru/eng/sm/v194/i3/p61
  • This publication is cited in the following 9 articles:
    1. FuChang Gao, XiangFeng Yang, “Upper tail probabilities of integrated Brownian motions”, Sci. China Math, 2015  crossref  mathscinet  zmath  scopus
    2. V. R. Fatalov, “Exact asymptotics of Laplace-type Wiener integrals for Lp-functionals”, Izv. Math., 74:1 (2010), 189–216  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi  elib  elib
    3. 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  mathnet  crossref  mathscinet  zmath  isi  elib
    4. Louchard G., Janson S., “Tail estimates for the Brownian excursion area and other Brownian areas”, Electron. J. Probab., 12:58 (2007), 1600–1632  mathscinet  zmath  isi  elib
    5. Svante Janson, Guy Louchard, “Tail estimates for the Brownian excursion area and other Brownian areas”, Electron. J. Probab., 12:none (2007)  crossref
    6. Fatalov V.P., “Letter to the Editors”, Theory Probab. Appl., 51:3 (2007), 561–563  mathnet  crossref  crossref  mathscinet  isi  elib
    7. 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  mathnet  crossref  mathscinet  zmath  elib  elib
    8. V. R. Fatalov, “The Laplace method for small deviations of Gaussian processes of Wiener type”, Sb. Math., 196:4 (2005), 595–620  mathnet  crossref  crossref  mathscinet  zmath  isi  elib
    9. V. R. Fatalov, “Large deviations for Gaussian processes in Hölder norm”, Izv. Math., 67:5 (2003), 1061–1079  mathnet  crossref  crossref  mathscinet  zmath  isi  elib
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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