Exact L₂-small ball asymptotics of Gaussian processes and the spectrum of boundary-value problems

DOI10.1007/S10959-008-0173-7zbMATH Open1187.60025arXiv0710.1408OpenAlexW2030467610MaRDI QIDQ842397FDOQ842397

Authors: A. I. Nazarov 

Publication date: 25 September 2009

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We sharpen a classical result on the spectral asymptotics of the boundary value problems for self-adjoint ordinary differential operator. Using this result we obtain the exact $L_2$-small ball asymptotics for a new class of zero mean Gaussian processes. This class includes, in particular, integrated generalized Slepian process, integrated centered Wiener process and integrated centered Brownian bridge.

Full work available at URL: https://arxiv.org/abs/0710.1408

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zbMATH Keywords

Gaussian processesspectral asymptoticsordinary differential operatorsSmall ball asymptotics

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic distribution of eigenvalues, asymptotic theory of eigenfunctions for ordinary differential operators (34L20)

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Cited In (28)

• Spectral analysis for some multifractional Gaussian processes
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• Precise small deviations in \(L_2\) of some Gaussian processes appearing in the regression context
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• On spectral asymptotics of the tensor product of operators with almost regular marginal asymptotics
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• Exact \(L_2\)-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems
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• Asymptotics of small deviations of the Bogoliubov processes with respect to a quadratic norm
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• The small ball asymptotics in Hilbert norm for the Kac-Kiefer-Wolfowitz processes
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• Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
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• Karhunen-Loève expansion for a generalization of Wiener bridge

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