Large-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions

DOI10.3233/ASY-151328zbMath1333.60173OpenAlexW2218629591MaRDI QIDQ5744778

Sergey V. Lototsky, Michael Moers

Publication date: 19 February 2016

Published in: Asymptotic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/asy-151328

zbMATH Keywords

Laplace transformalgebraic Riccati equationOrnstein-Uhlenbeck processlogarithmic asymptoticssmall ball probabilitiesGaussian diffusion processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Strong limit theorems (60F15) Diffusion processes (60J60) Limit theorems in probability theory (60F99)

Related Items (1)

Small ball probabilities for the infinite-dimensional Ornstein-Uhlenbeck process in Sobolev spaces

Cites Work

• On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
• Quadratic functionals and small ball probabilities for the \(m\)-fold integrated Brownian motion
• Asymptotic evaluation of certain markov process expectations for large time. IV
• Comparison theorems for the matrix riccati equation
• Chung’s law for integrated Brownian motion
• A Cameron-Martin type formula for general Gaussian processes--a filtering approach
• An extension of the Cameron–Martin result
• Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals

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