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JOURNALS // Izvestiya Rossiiskoi Akademii Nauk. Seriya Matematicheskaya // Archive

Izv. RAN. Ser. Mat., 2003 Volume 67, Issue 5, Pages 207–224 (Mi im457)

This article is cited in 5 papers

Large deviations for Gaussian processes in Hölder norm

V. R. Fatalov


Abstract: Some results are proved on the exact asymptotic representation of large deviation probabilities for Gaussian processes in the Höder norm. The following classes of processes are considered: the Wiener process, the Brownian bridge, fractional Brownian motion, and stationary Gaussian processes with power-law covariance function. The investigation uses the method of double sums for Gaussian fields.

UDC: 519.21

MSC: 60B11, 60B12, 60F05, 60G15, 60G17, 60G60

Received: 13.07.2002

DOI: 10.4213/im457


 English version:
Izvestiya: Mathematics, 2003, 67:5, 1061–1079

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© Steklov Math. Inst. of RAS, 2025