Exact L 2 Small Balls of Gaussian Processes

F. Gao (), J. Hannig (), T.-Y. Lee () and F. Torcaso ()
Additional contact information
F. Gao: University of Idaho
J. Hannig: Colorado State University
T.-Y. Lee: University of Maryland
F. Torcaso: Johns Hopkins University

Journal of Theoretical Probability, 2004, vol. 17, issue 2, 503-520

Abstract: Abstract We prove a comparison theorem extending Li(6) and develop a complex-analytic approach to treat L 2 small ball probabilities of Gaussian processes. We demonstrate the techniques for the m-times integrated Brownian motions and in examples where one can not apply Li comparison theorem.

Keywords: Small ball probabilities; integrated Brownian motions; comparison theorems (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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DOI: 10.1023/B:JOTP.0000020705.28185.4c

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