Logarithmic $L_2$-small ball asymptotics with respect to self-similar measure for some Gaussian processes

A. I. Nazarov

Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 7, Tome 311 (2004), pp. 190-213

Résumé

We find the logarithmic small ball asymptotics for the $L_2$-norm with respect to self-similar measures of a certain class of Gaussian processes including Brownian motion, Ornstein–Uhlenbeck process and their integrated counterparts.

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