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.