On the Sharp Constant in the Small Ball Asymptotics of Some Gaussian Processes under L2-Norm

被引：6
|
作者：
A.I. Nazarov
机构：
来源：
Journal of Mathematical Sciences | 2003年 / 117卷 / 3期
关键词：
Gaussian Process; Wide Class; Wiener Process; Extremal Property; Uhlenbeck Process;
D O I：
10.1023/A:1024868604219
中图分类号：
学科分类号：
摘要：
We find the sharp constant in the small L2-deviation asymptotics for a wide class of Gaussian processes including the m-times integrated Wiener process and the m-times integrated Ornstein–Uhlenbeck process. Extremal properties of usual and Euler integration are proved. Bibliography: 19 titles.
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页码：4185 / 4210
页数：25
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