Exact small ball asymptotics in weighted \(L_2\)-norm for some Gaussian processes

DOI10.1007/S10958-009-9683-9zbMath1288.60045OpenAlexW2470537143MaRDI QIDQ2452924

R. S. Pusev, Alexander I. Nazarov

Publication date: 6 June 2014

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-009-9683-9

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Large deviations (60F10) Asymptotic distribution of eigenvalues, asymptotic theory of eigenfunctions for ordinary differential operators (34L20)

Related Items (10)

Exact \(L_{2}\)-small ball asymptotics of Gaussian processes and the spectrum of boundary-value problems ⋮ Comparison theorems for the small ball probabilities of the Green Gaussian processes in weighted $L_2$-norms ⋮ \(L_2\)-small ball asymptotics for some demeaned Gaussian processes ⋮ \( L_2\)-small ball asymptotics for Gaussian random functions: a survey ⋮ Karhunen-Loève expansions of \(\alpha\)-Wiener bridges ⋮ Asymptotics of small deviations of the Bogoliubov processes with respect to a quadratic norm ⋮ On the history of St. Petersburg school of probability and mathematical statistics. II: Random processes and dependent variables ⋮ Log-level comparison principle for small ball probabilities ⋮ The Small Ball Asymptotics in Hilbert Norm for the Kac--Kiefer--Wolfowitz Processes ⋮ Weighted \(L^{p}\)-norms, \(p\geq 2\), for a Wiener process: exact asymptotics of small deviations

Cites Work

• Exact \(L_{2}\)-small ball asymptotics of Gaussian processes and the spectrum of boundary-value problems
• On the lower tail of Gaussian seminorms
• Comparison results for the lower tail of Gaussian seminorms
• Laplace transforms via {H}adamard factorization
• Exact \(L_2\)-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems
• A Cameron-Martin type formula for general Gaussian processes--a filtering approach
• Small ball probabilities for Gaussian random fields and tensor products of compact operators
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