Chuẩn hóa chính xác đối với phân phối của các hàm tích phân của chuyển động Brown địa hình và các công thức liên quan khác

Problems of Information Transmission - Tập 43 - Trang 233-254 - 2007
V. R. Fatalov1
1Faculty of Mechanics and Mathematics, Lomonosov Moscow State University, Russia

Tóm tắt

Chúng tôi chứng minh kết quả về chuẩn hóa chính xác của các xác suất $$P\left\{ {\int\limits_0^1 {e^{\varepsilon \xi (t)} dt > b} } \right\},P\left\{ {\int\limits_0^1 {e^{\varepsilon |\xi (t)|} dt > b} } \right\},\varepsilon \to 0,$$ với điều kiện b > 1, cho hai quá trình Gaussian ξ(t), cụ thể là, một quá trình Wiener và một cầu Brown. Chúng tôi sử dụng phương pháp Laplace cho các phép đo Gaussian trong không gian Banach. Việc đánh giá các hằng số được giảm thiểu thành việc giải quyết một bài toán giá trị cực trị cho hàm tỷ lệ và nghiên cứu quang phổ của một toán tử vi phân bậc hai thuộc loại Sturm-Liouville với sự sử dụng các hàm Legendre.

Từ khóa


Tài liệu tham khảo

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