Abstract:
We prove results on sharp asymptotics of probabilities
P{∫10|X(t)|pdt<εp},ε→0,P{∫10|X(t)|pdt<εp},ε→0,
where 0<p<∞0<p<∞, for three Gaussian processes X(t)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.
Citation:
V. R. Fatalov, “Gaussian Ornstein–Uhlenbeck and Bogoliubov processes: asymptotics of small deviations for LpLp-functionals, 0<p<∞0<p<∞”, Probl. Peredachi Inf., 50:4 (2014), 79–99; Problems Inform. Transmission, 50:4 (2014), 371–389
This publication is cited in the following 3 articles:
V. R. Fatalov, “Integrals of Bessel processes and multi-dimensional Ornstein–Uhlenbeck processes:
exact asymptotics for LpLp-functionals”, Izv. Math., 82:2 (2018), 377–406
V. R. Fatalov, “Functional integrals for the Bogoliubov Gaussian measure: Exact asymptotic forms”, Theoret. and Math. Phys., 195:2 (2018), 641–657
K. Mayorov, J. Hristoskov, N. Balakrishnan, “On a Family of Weighted Cramer-Von Mises Goodness-of-Fit Tests in Operational Risk Modeling”, J. Oper. Risk., 12:2 (2017), 1–21