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JOURNALS // Matematicheskii Sbornik // Archive

Mat. Sb., 2003 Volume 194, Number 3, Pages 61–82 (Mi sm721)

This article is cited in 9 papers

Asymptotics of large deviations of Gaussian processes of Wiener type for $L^p$-functionals, $p>0$, and the hypergeometric function

V. R. Fatalov

M. V. Lomonosov Moscow State University

Abstract: A general result is obtained on exact asymptotics of the probabilities
$$ \mathsf P\biggl\{\int_0^1|\xi(t)|^p\,dt>u^p\biggr\} $$
as $u\to\infty$ and $p>0$ for Gaussian processes $\xi(t)$.
The general theorem is applied for the calculation of these asymptotics in the cases of the following processes: the Wiener process $w(t)$, the Brownian bridge, and the stationary Gaussian process $\eta(t):=w(t+1)-w(t)$, $t\in\mathbb R^1$.
The Laplace method in Banach spaces is used. The calculations of the constants reduce to solving an extremum problem for the action functional and studying the spectrum of a differential operator of the second order of Sturm–Liouville type.

UDC: 519.2

MSC: Primary 60F10; Secondary 60G10, 60G15, 60J65

Received: 23.05.2002

DOI: 10.4213/sm721


 English version:
Sbornik: Mathematics, 2003, 194:3, 369–390

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© Steklov Math. Inst. of RAS, 2025