Weighted L^p-norms, p 2, for a Wiener process: exact asymptotics of small deviations

DOI10.3103/S0027132215020035MaRDI QIDQ2354941zbMATH OpenOpenAlexFDO

Authors V. R. Fatalov

Publication date 27 July 2015

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s0027132215020035

zbMATH Keywords

\(L^{p}\)-normssmall deviation probabilitiesstochastic integralsWiener process

Mathematics Subject Classification ID

Large deviations (60F10) Limit theorems in probability theory (60F99) Stochastic integrals (60H05)

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Cites work

• Approximation and entropy numbers of Volterra operators with application to Brownian motion
• Constants in the asymptotics of small deviation probabilities for Gaussian processes and fields
• Exact asymptotics of small deviations for a stationary Ornstein-Uhlenbeck process and some Gaussian diffusion processes in the L p -norm, 2 ≤ p ≤ ∞
• Exact small ball asymptotics in weighted \(L_2\)-norm for some Gaussian processes
• Exact small deviation asymptotics for some Brownian functionals
• scientific article; zbMATH DE number 3738630 (Why is no real title available?)
• scientific article; zbMATH DE number 3543343 (Why is no real title available?)
• scientific article; zbMATH DE number 782652 (Why is no real title available?)
• Lectures on Gaussian Processes
• Small ball probabilities for Gaussian Markov processes under the \(L_p\)-norm.
• Small deviations for two classes of Gaussian stationary processes and \(L^p\)-functionals, \(0<p\leq\infty\)
• The Laplace method for small deviations of Gaussian processes of Wiener type

Cited in

(5)

• Large deviations of the L^p-norm of a Wiener process with drift
• Small deviations asymptotics for Matérn processes and fields under weighted quadratic norm
• \(L_{2}\)-small deviations for weighted stationary processes
• scientific article; zbMATH DE number 4163820 (Why is no real title available?)
• Ergodic means for large values of T and exact asymptotics of small deviations for a multi-dimensional Wiener process

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