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

DOI10.1007/S10959-008-0173-7MaRDI QIDQ842397zbMATH OpenOpenAlexFDO

Publication date 25 September 2009

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

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

Gaussian processes ordinary differential operators Small ball asymptotics spectral asymptotics

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

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.

Review text

Let \(X=(X(t))_{0\leq t\leq 1}\) be a centered Gaussian process. The aim of the present paper is determine the asymptotic behavior of the small deviation probability \[ \mathbb P\left(\int_0^1|X(t)|^2\mathrm{d} t\leq\varepsilon^2\right) \] as \(\varepsilon\to 0\). Due to the Karhunen--Loève expansion for Gaussian processes the above small deviation probability coincides with \[ \mathbb P\left(\sum_{n=1}^\infty\lambda_n\xi_n^2\leq \varepsilon^2\right) \] where the \(\xi_n\) are i.i.d.~standard normal and the \(\lambda_n\) are the eigenvalues of the integral equation \[ \lambda y(t)=\int_0^1 G_X(t,s) y(s)\mathrm{d} s \] with covariance function \(G_X(t,s)=\mathbb E X(t) X(s)\). If \(G_X\) coincides with the Green function of a suitable boundary value problem, then, as mentioned in 2004 by \textit{A. I. Nazarov} and \textit{Ya. Yu. Nikitin} [Probab. Theory Relat. Fields 129, No. 4, 469--494 (2004; Zbl 1051.60041)] the behavior of the small deviation probability of \(X\) is completely determined by the corresponding boundary value problem. In the present paper the author extends this connection to a broader class of boundary value problems. This allows him to treat a larger class of Gaussian processes including those as the integrated generalized Slepian process, the integrated centered Wiener process or the integrated centered Brownian bridge. In all this cases the small deviation behavior of is determined with precise constants.

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