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Exact asymptotics of small deviations for a stationary Ornstein-Uhlenbeck process and some Gaussian diffusion processes in the L p -norm, 2 ≤ p ≤ ∞

Exact asymptotics of small deviations for a stationary Ornstein-Uhlenbeck process and some Gaussian diffusion processes in the L p -norm, 2 ≤ p ≤ ∞

ISSN:0032-9460
2008年第44卷第2期

We prove results on exact asymptotics of the probabilities

$$
Pleft{ {intlimits_0^1 {left| {eta (t)} right|^p dt leqslant varepsilon ^p } } right},varepsilon  to 0,
$$
where 2 ≤ p ≤ ∞, for two types of Gaussian processes η(t), namely, a stationary Ornstein-Uhlenbeck process and a Gaussian diffusion process satisfying the stochastic differential equation
$$
left{ begin{gathered}
  dZ(t) = dw(t) + g(t)Z(t)dt,t in [0,1], hfill 
  Z(0) = 0. hfill  
end{gathered}  right.
$$
Derivation of the results is based on the principle of comparison with a Wiener process and Girsanov’s absolute continuity theorem. Original Russian Text ? V.R. Fatalov, 2008, published in Problemy Peredachi Informatsii, 2008, Vol. 44, No. 2, pp. 75–95. Supported in part by the Russian Foundation for Basic Research, project no. 04-01-00700.

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ISSN:0032-9460
2008年第44卷第2期

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