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Weighted L p-norms, p ≥ 2, for a wiener process: Exact asymptoties of small deviations

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Abstract

Results concerning exact asymptotics for small deviation probabilities of a Wiener process in L p-norms with a weight, p ≥ 2, and for L p-norms of trajectories of some stochastic integrals are proved in the paper.

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Authors and Affiliations

  1. Faculty of Mechanics and Mathematics, Moscow State University, Leninskie Gory, Moscow, 119991, Russia

    V. R. Fatalov

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  1. V. R. Fatalov
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Correspondence to V. R. Fatalov.

Additional information

Original Russian Text © V.R. Fatalov. 2015, published in Vestnik Moskovskogo Universiteta, Matematika. Mekhanika, 2015, Vol. 70, No. 2, pp. 17–22.

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Fatalov, V.R. Weighted L p-norms, p ≥ 2, for a wiener process: Exact asymptoties of small deviations. Moscow Univ. Math. Bull. 70, 68–73 (2015). https://doi.org/10.3103/S0027132215020035

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  • DOI: https://doi.org/10.3103/S0027132215020035

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