Large-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions

DOI10.3233/ASY-151328MaRDI QIDQ5744778zbMATH OpenOpenAlexFDO

Authors S. V. Lototsky, Michael Moers

Publication date 19 February 2016

Published in Asymptotic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/asy-151328

zbMATH Keywords

algebraic Riccati equationGaussian diffusion processesLaplace transformlogarithmic asymptoticsOrnstein-Uhlenbeck processsmall ball probabilities

Mathematics Subject Classification ID

Strong limit theorems (60F15) Limit theorems in probability theory (60F99) Gaussian processes (60G15) Diffusion processes (60J60)

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Cites work

• A Cameron-Martin type formula for general Gaussian processes--a filtering approach
• An extension of the Cameron–Martin result
• Asymptotic evaluation of certain markov process expectations for large time. IV
• Chung’s law for integrated Brownian motion
• Comparison theorems for the matrix riccati equation
• On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
• Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals
• Quadratic functionals and small ball probabilities for the \(m\)-fold integrated Brownian motion

Cited in

(3)

• Small ball probabilities for the infinite-dimensional Ornstein-Uhlenbeck process in Sobolev spaces
• Quenched asymptotics for Brownian motion in generalized Gaussian potential
• Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications

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