Large deviations of the \(L^p\)-norm of a Wiener process with drift

DOI10.1007/BF02675079zbMath0970.60025MaRDI QIDQ1569786

V. R. Fatalov

Publication date: 6 October 2001

Published in: Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

Wiener processlarge deviationLegendre functions

Mathematics Subject Classification ID

Gaussian processes (60G15) Large deviations (60F10)

Related Items (1)

Integral functionals for the exponential of the Wiener process and the Brownian bridge: exact asymptotics and Legendre functions

Cites Work

• Gaussian measure of large balls in \(l_ p^ 1\)
• Exact asymptotics of large deviations for Gaussian measures on Hilbert space
• Gaussian measures on L\(_p\) spaces, \(1\leq p \leq \infty\)
• The Laplace method for probability measures in Banach spaces
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