RUS  ENG
Full version
JOURNALS // Izvestiya Rossiiskoi Akademii Nauk. Seriya Matematicheskaya // Archive

Izv. RAN. Ser. Mat., 2007 Volume 71, Issue 4, Pages 69–102 (Mi im690)

This article is cited in 11 papers

Occupation times and exact asymptotics of small deviations of Bessel processes for $L^p$-norms with $p>0$

V. R. Fatalov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: We prove theorems on exact asymptotics of the distributions of integral functionals of the occupation time of Bessel processes. Using these results, we obtain exact asymptotics of small deviations for Bessel processes in the $L^p$-norm. We use Laplace's method for the occupation times of Markov processes with continuous time. Computations are carried out for $p=2$ and $p=1$. We also solve extremal problems for the action functional.

UDC: 519.2

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

Received: 13.07.2004
Revised: 13.04.2006

DOI: 10.4213/im690


 English version:
Izvestiya: Mathematics, 2007, 71:4, 721–752

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2025