Integral functionals for the exponential of the Wiener process and the Brownian bridge: exact asymptotics and Legendre functions

DOI10.1134/S0001434612070103MaRDI QIDQ1938632zbMATH OpenOpenAlexFDO

Publication date 22 February 2013

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0001434612070103

asymptotic formulae Banach spaces Brownian bridge Gaussian measures Laplace-type integral second-order differential operator Wiener process

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Stochastic integrals (60H05)

Review text

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.

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