We find some logarithmic and exact small deviation asymptotics for the L2-norms of certain Gaussian processes closely connected with a Wiener process. In particular, processes obtained by centering and integrating Brownian motion and Brownian bridge are examined.

Exact small ball constants for some Gaussian processes under L2-norm / Beghin, Luisa; Y., Nikitin; Orsingher, Enzo. - In: JOURNAL OF MATHEMATICAL SCIENCES. - ISSN 1072-3374. - STAMPA. - (2005), pp. 2493-2502. [10.1007/s10958-005-0197-9]

Exact small ball constants for some Gaussian processes under L2-norm

BEGHIN, Luisa;ORSINGHER, Enzo
2005

Abstract

We find some logarithmic and exact small deviation asymptotics for the L2-norms of certain Gaussian processes closely connected with a Wiener process. In particular, processes obtained by centering and integrating Brownian motion and Brownian bridge are examined.
2005
Small ball deviations; Brownian bridge; integrated Brownian motion
01 Pubblicazione su rivista::01a Articolo in rivista
Exact small ball constants for some Gaussian processes under L2-norm / Beghin, Luisa; Y., Nikitin; Orsingher, Enzo. - In: JOURNAL OF MATHEMATICAL SCIENCES. - ISSN 1072-3374. - STAMPA. - (2005), pp. 2493-2502. [10.1007/s10958-005-0197-9]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/144320
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