Integrated Brownian motions and exact \(L_2\)-small balls (Q1431493): Difference between revisions

The authors introduce a class of \(m\)-times integrated Brownian motions \(X_{m}(t),\) \(0\leq t\leq 1,\) which is defined by \[ X_{m}(t)=\int^{t}_{0}\int^{s_{m}}_{0}\cdots \int^{s_{2}}_{0}B(s_{1})ds_{1}ds_{2}\cdots ds_{m}, \] where \(B(s)\) is a standard Brownian motion and \(m\geq 0\) is an integer. The authors consider the behavior of the probability that \(X_{m}(t)\) stays in a small ball of radius \(\varepsilon\) around the origin \(P(\| X_{m} \| \leq \varepsilon).\) The exact asymptotic expansions for the \(L_{2}\)-small ball probability have been discussed for members of \(m\)-times integrated Brownian motions, of which the usual \(m\)-times integrated Brownian motion is an example and another example is the so-called Euler-integrated Brownian motion. The authors find very sharp estimates for the asymptotics of the eigenvalues of the covariance operator of integrated Brownian motions and obtain exact, not just logarithmic, asymptotics. The main theorem is: For the general \(m\)-times integrated Brownian motion, \[ P\left(\int^{1}_{0}X^{2}(t)dt\leq\varepsilon^{2}\right)\sim C\varepsilon^{(1-k_{0}(2m+2))/(2m+1)}\exp\{-D_{m}\varepsilon^{-2/(2m+1)}\}, \] where \[ D_{m}=\frac{2m+1}{2} \left((2m+2)\sin\frac{\pi}{2m+2}\right)^{-(2m+2)/(2m+1)}, \] \(C\) is a positive constant, and \(k_{0}\) is an integer. Furthermore, \(k_{0}=0\) for \(m\leq 10.\)