Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics

Abstract: We study boundary non-crossing probabilities

P_{f,u} := mathrm P�ig(forall tin mathbb T X_t + f(t)le u(t)�ig)

for continuous centered Gaussian process

X

indexed by some arbitrary compact separable metric space

m a t h b b T

. We obtain both upper and lower bounds for

P_{f, u}

. The bounds are matching in the sense that they lead to precise logarithmic asymptotics for the large-drift case

P_{y f, u}

,

y o + i n f t y

, which are two-term approximations (up to

o (y)

). The asymptotics are formulated in terms of the solution

i l d e f

to the constrained optimization problem

|h|_{mathbb H_X} o min, quad hin mathbb H_X, hge f

in the reproducing kernel Hilbert space

m a t h b b H_{X}

of

X

. Several applications of the results are further presented.

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