On the history of St. Petersburg school of probability and mathematical statistics. II: Random processes and dependent variables
The authors present the following: ``This is the second paper in a series of reviews devoted to the scientific achievements of the Leningrad and St. Petersburg school of probability and mathematical statistics from 1947 to 2017. This paper is devoted to the works on limit theorems for dependent variables (in particular, Markov chains, sequences with mixing properties, and sequences admitting a martingale approximation) and to various aspects of the theory of random processes. We pay particular attention to Gaussian processes, including isoperimetric inequalities, estimates of the probabilities of small deviations in various norms, and the functional law of the iterated logarithm. We present a brief review and bibliography of the works on approximation of random fields with a parameter of growing dimension and probabilistic models of systems of sticky inelastic particles (including laws of large numbers and estimates for the probabilities of large deviations). The first section of this survey is devoted to limit theorems for development random variables. The authors consider the following items: -- Inhomogeneous Markov chains -- Bernstein's method (this technique is a general method for studying limit distributions for sums of dependent random variables, generally speaking, unrelated to Markov dependence) -- Processes generated by processes with mixing -- The invariance principle (functional limit theorems) -- Rate of convergence -- The law of the iterated logarithm -- The martingale-approximation method (the Gordin method). The second section deals with Gaussian random processes. The authors present the following items of this topic noting a fact that several fundamental results of the theory of Gaussian processes were obtained in Leningrad: -- Classical results -- Connection with intrinsic volumes. The third section of this paper is on the functional law of the iterated logarithm (FLIL). The fourth section ``Probabilities of small deviations consists of the following items: -- Sums of independent variables -- Riemann-Liouville processes -- Gaussian stationary processes -- Green's Gaussian processes -- Other results related to small deviations. The fifth and sixth sections are devoted to approximation of random fields of growing dimension and to stochastic systems of sticky particles, respectively.
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- On the history of the St. Petersburg school of probability and statistics. III: Distributions of functionals of processes, stochastic geometry, and extrema
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- Intrinsic volumes of Sobolev balls with applications to Brownian convex hulls
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- Lectures on Gaussian Processes
- Limit theorems for small deviation probabilities of some iterated stochastic processes
- Limit theorems for von Mises statistics of a measure preserving transformation
- Log-level comparison principle for small ball probabilities
- Logarithmic L2-Small Ball Asymptotics for some Fractional Gaussian Processes
- Logarithmic level comparison for small deviation probabilities
- Mixing Conditions for Markov Chains
- Necessary and sufficient conditions for the Strassen law of the iterated logarithm in nonuniform topologies
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- On Energy and Clusters in Stochastic Systems of Sticky Gravitating Particles
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- On small deviations of series of weighted positive random variables
- On spectral asymptotics of the Neumann problem for the Sturm-Liouville equation with self-similar weight of generalized Cantor type
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- On the small deviation problem for some iterated processes
- Precise small deviations in L₂ of some Gaussian processes appearing in the regression context
- Probabilities of randomly centered small balls and quantization in Banach spaces
- Probabilities of small deviations of the weighted sum of independent random variables with common distribution that decreases at zero not faster than a power
- Small ball probabilities for a centered Poisson process of high intensity
- Small ball probabilities for a shifted Poisson process
- Small ball probabilities for Gaussian random fields and tensor products of compact operators
- Small ball probabilities for jump Lévy processes from the Wiener domain of attraction
- Small ball probabilities for smooth Gaussian fields and tensor products of compact operators
- Small deviation probabilities for sums of independent positive random variables
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- Small deviations asymptotics for Matérn processes and fields under weighted quadratic norm
- Small deviations for fractional stable processes
- Small deviations in \(L_2\)-norm for Gaussian dependent sequences
- Small deviations of Gaussian random fields in \(L_{q}\)-spaces
- Small deviations of iterated processes in the space of trajectories
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- Small deviations of sums of correlated stationary Gaussian sequences
- Small deviations of weighted fractional processes and average non–linear approximation
- Some exact rates in the functional law of the iterated logarithm
- Some Limit Theorems for Stationary Processes
- Stationary Gaussian processes with a finite correlation function
- Strassen-type functional laws for strong topologies
- The best rate of convergence in the Strassen law for random polygons
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- The small ball asymptotics in Hilbert norm for the Kac-Kiefer-Wolfowitz processes
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- Toward the history of the Saint St. Petersburg school of probability and statistics. I: Limit theorems for sums of independent random variables
- Toward the history of the St. Petersburg school of probability and statistics. IV: Characterization of distributions and limit theorems in statistics
- On the history of the St. Petersburg school of probability and statistics. III: Distributions of functionals of processes, stochastic geometry, and extrema
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