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On the Sharp Constant in the Small Ball Asymptotics of Some Gaussian Processes under L 2-Norm |
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| Authors: | A.I. Nazarov |
| Abstract: | We find the sharp constant in the small L2-deviation asymptotics for a wide class of Gaussian processes including the m-times integrated Wiener process and the m-times integrated Ornstein–Uhlenbeck process. Extremal properties of usual and Euler integration are proved. Bibliography: 19 titles. |
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