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JOURNALS // Problemy Peredachi Informatsii // Archive

Probl. Peredachi Inf., 2014 Volume 50, Issue 4, Pages 79–99 (Mi ppi2155)

This article is cited in 3 papers

Large Systems

Gaussian Ornstein–Uhlenbeck and Bogoliubov processes: asymptotics of small deviations for $L^p$-functionals, $0<p<\infty$

V. R. Fatalov

Laboratory of Probability, Faculty of Mechanics and Mathematics, Lomonosov Moscow State University, Moscow, Russia

Abstract: We prove results on sharp asymptotics of probabilities
$$ \mathbf P\Biggl\{\int_0^1|X(t)|^p\,dt<\varepsilon^p\Biggr\},\qquad\varepsilon\to0, $$
where $0<p<\infty$, for three Gaussian processes $X(t)$, namely the stationary and nonstationary Ornstein–Uhlenbeck process and the Bogoliubov process. The analysis is based on the Laplace method for sojourn times of a Wiener process.

UDC: 621.391.1+519.2

Received: 17.09.2014


 English version:
Problems of Information Transmission, 2014, 50:4, 371–389

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