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JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2015 Number 2, Pages 17–22 (Mi vmumm217)

Mathematics

Weighted $L^p$, $p\ge2$, for a wiener process: Exact asymptoties of small deviations

V. R. Fatalov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: Results concerning exact asymptotics for small deviation probabilities of a Wiener process in $L^p$-norm with a weight $p\ge2$ and for $L^p$-norms of trajectories of some stochastic integrals are proved in the paper.

Key words: small deviations, Wiener process, stochastic integral.

UDC: 519.2

Received: 30.10.2013


 English version:
Moscow University Mathematics Bulletin, Moscow University Mеchanics Bulletin, 2015, 70:2, 68–73

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