Exact small deviation asymptotics for some Brownian functionals

DOI10.1137/S0040585X97985790MaRDI QIDQ5298805zbMATH OpenOpenAlexFDO

Authors R. S. Pusev, Yakov Yu. Nikitin

Publication date 14 June 2013

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.2891

zbMATH Keywords

Gaussian processBessel processsmall deviationsBrownian excursionBrownian meanderKarhunen-Loève expansion

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Diffusion processes (60J60) Foundations of stochastic processes (60G05)

Abstract: We find exact small deviation asymptotics with respect to weighted Hilbert norm for some well-known Gaussian processes. Our approach does not require the knowledge of eigenfunctions of the covariance operator of a weighted process. Such a peculiarity of the method makes it possible to generalize many previous results in this area. We also obtain new relations connected to exact small deviation asymptotics for a Brownian excursion, a Brownian meander, and Bessel processes and bridges.

Recommendations

• The Laplace method for small deviations of Gaussian processes of Wiener type
• Exact small ball asymptotics in weighted \(L_2\)-norm for some Gaussian processes
• On small deviation asymptotics in \(L_2\) of some mixed Gaussian processes
• Exact small ball constants for some Gaussian processes under the \(L^2\)-norm
• scientific article; zbMATH DE number 2213819

Cited in

(18)

• Precise small deviations in L₂ of some Gaussian processes appearing in the regression context
• On small deviation asymptotics in \(L_2\) of some mixed Gaussian processes
• scientific article; zbMATH DE number 2187774 (Why is no real title available?)
• Weighted \(L^{p}\)-norms, \(p\geq 2\), for a Wiener process: exact asymptotics of small deviations
• Occupation times and exact asymptotics of small deviations of Bessel processes for $ L^p$-norms with $ p>0$
• Evaluating the complexity of some families of functional data
• Small deviations for time-changed Brownian motions and applications to second-order chaos
• Borel summation of the small time expansion of some SDE’s driven by Gaussian white noise
• Comparison theorems for the small ball probabilities of the Green Gaussian processes in weighted L₂-norms
• L₂-small ball asymptotics for Gaussian random functions: a survey
• Gaussian Ornstein-Uhlenbeck and Bogoliubov processes: asymptotics of small deviations for \( L^{p}\)-functionals, \(0<p<\infty\)
• On the history of St. Petersburg school of probability and mathematical statistics. II: Random processes and dependent variables
• Small time asymptotics for Brownian motion with singular drift
• Small deviations for Gaussian Markov processes under the sup-norm
• Exact \(L_{2}\)-small ball asymptotics of Gaussian processes and the spectrum of boundary-value problems
• Nonparametric modelling for functional data: selected survey and tracks for future
• Small deviation probabilities for sums of independent positive random variables
• Integrated empirical measures and generalizations of classical goodness-of-fit statistics

This page was built for publication: Exact small deviation asymptotics for some Brownian functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5298805)