Abstract:
We prove theorems on the exact asymptotic behaviour of the integrals
Eexp{u(∫10|ξ(t)|pdt)α/p},Eexp{−u∫10|ξ(t)|pdt},u→∞,
for p>0 and 0<α<2 for two random processes ξ(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.
Keywords:
large deviation, Gaussian process, Markov process, occupation time, covariance operator, generating operator, Schrödinger operator, hypergeometric function.