On Small Deviation Asymptotics in the L 2 -Norm for Certain Gaussian Processes

Leonid Rozovsky
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Leonid Rozovsky: R&D Department, Saint-Petersburg State Chemical and Pharmaceutical University, 197376 Saint-Petersburg, Russia

Mathematics, 2021, vol. 9, issue 6, 1-4

Abstract: The results obtained allow finding sharp small deviations in a Hilbert norm for centered Gaussian processes in the case where their covariances have a special form of the eigenvalues and allow us to describe small deviation asymptotics for certain Gaussian processes.

Keywords: Hilbert norm; Karhunen-Loève expansion; comparison theorems (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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