Integral functionals for the exponential of the Wiener process and the Brownian bridge: exact asymptotics and Legendre functions (Q1938632): Difference between revisions

For the Wiener process \(W=\{W(t),t\geq 0\}\) and each \(b\in (0,1)\), it is proved that \[ \begin{multlined} \operatorname{P}\left(\int_0^1 e^{-\varepsilon |w(t)|}\,dt <b\right) \\ =2\operatorname{P}\left(\int_0^1 e^{-\varepsilon w(t)}\,dt <b\right)(1+o(1)) = \exp\left\{-\frac{K_1}{\varepsilon^2}\right\}\frac{\varepsilon \sqrt{2}}{\sqrt{\pi q_1 \Delta_1}}(1+o(1)),\;\;\;\varepsilon \to 0+. \end{multlined} \] The explicit expressions for \(K_1\), \(q_1\) and \(\Delta_1\) are given. An analogous relation when \(W\) is replaced by the Brownian bridge is established. Asymptotic formulae are obtained also for integrals of Laplace type. The author employs the Laplace method for Gaussian measures in Banach spaces. The appearing constants are evaluated by means of solution of the corresponding extremal problem for the action functional and involve the study of the spectrum of a second-order differential operator of the Sturm-Liouville type.