Exact asymptotics of distributions of integral functionals of the geometric Brownian motion and other related formulas

DOI10.1134/S0032946007030064zbMath1136.60357MaRDI QIDQ927478

V. R. Fatalov

Publication date: 9 June 2008

Published in: Problems of Information Transmission (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Particular ordinary differential operators (Dirac, one-dimensional Schrödinger, etc.) (34L40) Brownian motion (60J65) Positive solutions to nonlinear boundary value problems for ordinary differential equations (34B18) Applications of functional analysis in probability theory and statistics (46N30)

Related Items (1)

Integral functionals for the exponential of the Wiener process and the Brownian bridge: exact asymptotics and Legendre functions

Cites Work

• Laplace's method for Gaussian integrals with an application to statistical mechanics
• The Laplace method for computing exact asymptotics of distributions of integral statistics.
• Integral functionals for the exponential of the Wiener process and the Brownian bridge: exact asymptotics and Legendre functions
• Asymptotics of large deviations of Gaussian processes of Wiener type for $ L^p$-functionals, $ p>0$, and the hypergeometric function
• The Laplace method for probability measures in Banach spaces
• Stochastic differential equations. An introduction with applications.
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