L₂-small deviations for weighted stationary processes

DOI10.1112/S0025579317000572MaRDI QIDQ3176201zbMATH OpenOpenAlexWikidataFDO

Authors M. A. Lifshits, A. I. Nazarov

Publication date 19 July 2018

Published in Mathematika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.00422

zbMATH Keywords

weighted stationary processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Pseudodifferential operators (47G30)

Abstract: We find logarithmic asymptotics of $L_2$-small deviation probabilities for weighted stationary Gaussian processes (both for real and complex-valued) having power-type discrete or continuous spectrum. As in the recent work by Hong, Lifshits and Nazarov, our results are based on the spectral theory of pseudo-differential operators developed by Birman and Solomyak.

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Cited in

(6)

• Small deviations in \(L_2\)-norm for Gaussian dependent sequences
• Weighted \(L^{p}\)-norms, \(p\geq 2\), for a Wiener process: exact asymptotics of small deviations
• Asymptotics and estimates for the discrete spectrum of the Schrödinger operator on a discrete periodic graph
• Small deviations asymptotics for Matérn processes and fields under weighted quadratic norm
• \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
• On the history of St. Petersburg school of probability and mathematical statistics. II: Random processes and dependent variables

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