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

Izv. RAN. Ser. Mat., 2010 Volume 74, Issue 1, Pages 197–224 (Mi im738)

This article is cited in 8 papers

Exact asymptotics of Laplace-type Wiener integrals for $L^p$-functionals

V. R. Fatalov


Abstract: We prove theorems on the exact asymptotic behaviour of the integrals
$$ \mathsf{E}\exp\biggl\{u\biggl(\int_0^1|\xi(t)|^p\,dt\biggr)^{\alpha/p}\biggr\}, \quad \mathsf{E}\exp\biggl\{-u\int_0^1|\xi(t)|^p\,dt\biggr\}, \qquad u\to\infty, $$
for $p>0$ and $0<\alpha<2$ for two random processes $\xi(t)$, namely, the Wiener process and the Brownian bridge, and obtain other related results. Our approach is via the Laplace method for infinite-dimensional distributions, namely, Gaussian measures and the occupation time for Markov processes.

Keywords: large deviation, Gaussian process, Markov process, occupation time, covariance operator, generating operator, Schrödinger operator, hypergeometric function.

UDC: 519.2

MSC: Primary 60H05; Secondary 28C20, 60F10, 60J65

Received: 28.12.2005
Revised: 19.10.2007

DOI: 10.4213/im738


 English version:
Izvestiya: Mathematics, 2010, 74:1, 189–216

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© Steklov Math. Inst. of RAS, 2025