L₂-small ball asymptotics for Gaussian random functions: a survey

DOI10.1214/23-PS20zbMATH Open1517.60041arXiv2305.08927MaRDI QIDQ6168535FDOQ6168535

Authors: A. I. Nazarov 

Publication date: 9 August 2023

Published in: Probability Surveys (Search for Journal in Brave)

Abstract: This article is a survey of the results on asymptotic behavior of small ball probabilities in $L_2$-norm. Recent progress in this field is mainly based on the methods of spectral theory of differential and integral operators.

Full work available at URL: https://arxiv.org/abs/2305.08927

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zbMATH Keywords

Gaussian processesspectral asymptoticssmall ball probabilitiesHilbertian norm

Mathematics Subject Classification ID

Gaussian processes (60G15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) General spectral theory of ordinary differential operators (34L05) Integral operators (47G10)

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Cited In (10)

• \(L_2\)-small ball asymptotics for a family of finite-dimensional perturbations of Gaussian functions
• \(L_2\)-small ball asymptotics for some demeaned Gaussian processes
• Small ball constants and tight eigenvalue asymptotics for fractional Brownian motions
• Exact \(L^2\) small balls of Gaussian processes
• Exact \(L_2\)-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems
• \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
• On the spectrum of the Sturm-Liouville problem with arithmetically self-similar weight
• The small ball asymptotics in Hilbert norm for the Kac-Kiefer-Wolfowitz processes
• Logarithmic L2-Small Ball Asymptotics for some Fractional Gaussian Processes
• Remark on the finite-dimensional character of certain results of functional statistics

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