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JOURNALS // Problemy Peredachi Informatsii // Archive

Probl. Peredachi Inf., 2010 Volume 46, Issue 1, Pages 68–93 (Mi ppi2010)

This article is cited in 8 papers

Large Systems

Small deviations for two classes of Gaussian stationary processes and $L^p$-functionals, $0<p\le\infty$

V. R. Fatalov

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

Abstract: Let $w(t)$ be a standard Wiener process, $w(0)=0$, and let $\eta_a(t)=w(t+a)-w(t)$, $t\ge0$, be increments of the Wiener process, $a>0$. Let $Z_a(t)$, $t\in[0,2a]$, be a zeromean Gaussian stationary a.s. continuous process with a covariance function of the form $\mathbf EZ_a(t)Z_a(s)=\frac12[a-|t-s|]$, $t,s\in[0,2a]$. For $0<p<\infty$, we prove results on sharp asymptotics as $\varepsilon\to0$ of the probabilities
$$ \mathbf P\Biggl\{\int_0^T|\eta_a(t)|^p\,dt\le\varepsilon^p\Biggr\}\quad\text{для}\ T\le a,\qquad\mathbf P\Biggl\{\int_0^T|Z_a(t)|^p\,dt\le\varepsilon^p\Biggr\}\quad\text{для}\ T<2a, $$
and compute similar asymptotics for the sup-norm. Derivation of the results is based on the method of comparing with a Wiener process. We present numerical values of the asymptotics in the case $p=1$, $p=2$, and for the sup-norm. We also consider application of the obtained results to one functional quantization problem of information theory.

UDC: 621.391.1+519.21

Received: 26.05.2009
Revised: 17.11.2009


 English version:
Problems of Information Transmission, 2010, 46:1, 62–85

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