Exact L 2-Small Ball Asymptotics of Gaussian Processes and the Spectrum of Boundary-Value Problems

被引:24
|
作者
Nazarov, Alexander I. [1 ]
机构
[1] St Petersburg State Univ, Dept Math & Mech, St Petersburg 198504, Russia
关键词
Small ball asymptotics; Spectral asymptotics; Gaussian processes; Ordinary differential operators; PROBABILITIES;
D O I
10.1007/s10959-008-0173-7
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We sharpen a classical result on the spectral asymptotics of boundary-value problems for self-adjoint ordinary differential operator. Using this result, we obtain the exact L (2)-small ball asymptotics for a new class of zero-mean Gaussian processes. This class includes, in particular, the integrated generalized Slepian process, integrated centered Wiener process, and integrated centered Brownian bridge.
引用
收藏
页码:640 / 665
页数:26
相关论文
共 50 条