The Laplace method for small deviations of Gaussian processes of Wiener type

DOI10.1070/SM2005V196N04ABEH000893MaRDI QIDQ5693832zbMATH OpenFDO

Authors V. R. Fatalov

Publication date 28 September 2005

Published in Sbornik: Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/SM2005V196N04ABEH000893

zbMATH Keywords

Brownian bridgeoccupation timesWiener process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Gaussian processes (60G15) Random fields (60G60) Brownian motion (60J65)

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(21)

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• Integral functionals for the exponential of the Wiener process and the Brownian bridge: exact asymptotics and Legendre functions
• Gaussian Ornstein-Uhlenbeck and Bogoliubov processes: asymptotics of small deviations for \( L^{p}\)-functionals, \(0<p<\infty\)
• Weighted \(L^{p}\)-norms, \(p\geq 2\), for a Wiener process: exact asymptotics of small deviations
• Exact asymptotics of large deviations of stationary Ornstein-Uhlenbeck processes for \(L^p\)-functionals, \(p>0\)
• Supremum of the Euclidean norms of the multidimensional Wiener process and Brownian bridge: sharp asymptotics of probabilities of large deviations
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• Asymptotic behavior of small deviations for Bogoliubov's Gaussian measure in the \(L^{p}\) norm, \(2 \leq p \leq \infty\)
• Integrals of Bessel processes and multi-dimensional Ornstein-Uhlenbeck processes: exact asymptotics for L^p-functionals
• Brownian motion on \lbrack 0,\infty) with linear drift, reflected at zero: exact asymptotics for ergodic means
• Asymptotics of large deviations of Gaussian processes of Wiener type for $ L^p$-functionals, $ p>0$, and the hypergeometric function
• Asymptotics of Large Deviations for Wiener Random Fields in L^p-Norm, Nonlinear Hammerstein Equations, and High-Order Hyperbolic Boundary-Value Problems
• 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 deviation asymptotics for some Brownian functionals
• Ergodic means for large values of T and exact asymptotics of small deviations for a multi-dimensional Wiener process
• scientific article; zbMATH DE number 2187774 (Why is no real title available?)
• Small deviations for two classes of Gaussian stationary processes and \(L^p\)-functionals, \(0<p\leq\infty\)
• Small deviations for time-changed Brownian motions and applications to second-order chaos
• Exact asymptotics of distributions of integral functionals of the geometric Brownian motion and other related formulas

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