Small deviations for Gaussian Markov processes under the sup-norm

DOI10.1023/A:1021771503265zbMath0961.60051OpenAlexW87121361MaRDI QIDQ1970312

Wenbo V. Li

Publication date: 21 May 2001

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1021771503265

zbMATH Keywords

Brownian motionweighted normsGaussian Markov processessmall ball problem

Mathematics Subject Classification ID

Gaussian processes (60G15) Continuous-time Markov processes on general state spaces (60J25)

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A functional LIL for symmetric stable processes. ⋮ Small ball probabilities for Gaussian Markov processes under the \(L_p\)-norm. ⋮ The first exit time of a Brownian motion from an unbounded convex domain ⋮ Small deviations for two classes of Gaussian stationary processes and \(L^p\)-functionals, \(0<p\leq\infty\) ⋮ Random hysteresis loops ⋮ Exact asymptotics of small deviations for a stationary Ornstein-Uhlenbeck process and some Gaussian diffusion processes in the L p -norm, 2 ≤ p ≤ ∞ ⋮ Approximation, metric entropy and small ball estimates for Gaussian measures ⋮ Relations between classical, average, and probabilistic Kolmogorov widths

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