Small ball probabilities for the infinite-dimensional Ornstein-Uhlenbeck process in Sobolev spaces

DOI10.1007/S40072-016-0085-YMaRDI QIDQ2014309zbMATH OpenOpenAlexFDO

Authors S. V. Lototsky

Publication date 11 August 2017

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.08279

zbMATH Keywords

Laplace transformstochastic partial differential equationsSobolev spaceslogarithmic asymptoticsinfinite-dimensional Ornstein-Uhlenbeck processexponential Tauberian theoremssmall ball constantsmall ball rate

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probability theory on linear topological spaces (60B11) Diffusion processes (60J60)

Abstract: While small ball, or lower tail, asymptotic for Gaussian measures generated by solutions of stochastic ordinary differential equations is relatively well understood, a lot less is known in the case of stochastic partial differential equations. The paper presents exact logarithmic asymptotics of the small ball probabilities in a scale of Sobolev spaces when the Gaussian measure is generated by the solution of a diagonalizable stochastic parabolic equation. Compared to the finite-dimensional case, new effects appear in a certain range of the Sobolev exponents.

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Cited in

(4)

• Small ball probabilities and a support theorem for the stochastic heat equation
• Small ball probability estimates for the Hölder semi-norm of the stochastic heat equation
• Small ball probabilities for the stochastic heat equation
• On the small time behavior of Ornstein-Uhlenbeck processes with unbounded linear drifts

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