Bounds for characteristic functions of additive functionals of some Markov processes
Let \(\{\Phi_A(\cdot);A\in {\mathcal B}\}\) be a family of measurable additive functionals indexed by the class \({\mathcal B}\) of all finite unions of intervals of the real line and defined on a measurable space \(({\mathcal S},{\mathcal A})\). Let \(\xi(x)\), \(x\in[0,T]\), be a real-valued Markov process which is a random element in \(({\mathcal S},{\mathcal A})\) for suitable \({\mathcal S}\) and \({\mathcal A}\). Power-type upper bounds on the entire line for the characteristic functions \(\varphi_A(t)={\mathbf E} \exp\{it\Phi_A(\xi)\}\) and their derivatives are obtained. To illustrate possibilities of employing these estimates, the author considers additive functionals of order statistics and integral-type functionals of some Gaussian Markov processes. For Gaussian Markov processes, the bounds tend to zero at infinity faster than every power.
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