The exponential integrability of quasi-additive functionals of Gaussian vectors
Author:
V. V. Buldygin
Translated by:
Oleg Klesov
Journal:
Theor. Probability and Math. Statist. 68 (2004), 19-25
MSC (2000):
Primary 60B11, 60G15
DOI:
https://doi.org/10.1090/S0094-9000-04-00592-7
Published electronically:
May 11, 2004
MathSciNet review:
2000391
Full-text PDF Free Access
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Abstract: We study the exponential integrability of quasi-additive functionals of Gaussian random vectors.
References
- V. P. Skitovich, Linear forms of independent variables and the normal law of distribution, Izv. Akad. Nauk SSSR, Ser. Mat. 18 (1954), 952. (Russian) MR 16:52a
- N. N. Vakhania, V. I. Tarieladze, and S. A. Chobanyan, Probability Distributions on Banach Spaces, “Nauka", Moscow, 1985; English transl., Kluwer, Dordrecht, 1987. MR 86j:60014; MR 97k:60007
- A. V. Skorokhod, A remark on Gaussian measures in a Banach space, Teor. Veroyatnost. i Primenen. 15 (1970), no. 3, 519–520; English transl., Theory Probab. Appl. 15 (1971), 508–509. MR 43:3417
- X. Fernique, Intégrabilité des vecteurs gaussiens, C. R. Acad. Sci. Paris Sér. I. Math. 270 (1970), no. 7, 1698–1699. MR 42:1170
- H. J. Landau and L. A. Shepp, On the supremum of a Gaussian process, Sankhya 32 (1970), no. 4, 369–378. MR 44:3381
- V. V. Buldygin and D. M. Severnyuk, On the exponential integrability of semiadditive functionals of Gaussian vectors Teor. Imovirnost. Matem. Statist. 60 (1999), 11–16; English transl., Theory Probab. Math. Statist. 60 (2000), 13–18.
References
- V. P. Skitovich, Linear forms of independent variables and the normal law of distribution, Izv. Akad. Nauk SSSR, Ser. Mat. 18 (1954), 952. (Russian) MR 16:52a
- N. N. Vakhania, V. I. Tarieladze, and S. A. Chobanyan, Probability Distributions on Banach Spaces, “Nauka", Moscow, 1985; English transl., Kluwer, Dordrecht, 1987. MR 86j:60014; MR 97k:60007
- A. V. Skorokhod, A remark on Gaussian measures in a Banach space, Teor. Veroyatnost. i Primenen. 15 (1970), no. 3, 519–520; English transl., Theory Probab. Appl. 15 (1971), 508–509. MR 43:3417
- X. Fernique, Intégrabilité des vecteurs gaussiens, C. R. Acad. Sci. Paris Sér. I. Math. 270 (1970), no. 7, 1698–1699. MR 42:1170
- H. J. Landau and L. A. Shepp, On the supremum of a Gaussian process, Sankhya 32 (1970), no. 4, 369–378. MR 44:3381
- V. V. Buldygin and D. M. Severnyuk, On the exponential integrability of semiadditive functionals of Gaussian vectors Teor. Imovirnost. Matem. Statist. 60 (1999), 11–16; English transl., Theory Probab. Math. Statist. 60 (2000), 13–18.
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Additional Information
V. V. Buldygin
Affiliation:
Department of Analysis and Probability Theory, National Technical University of Ukraine (KPI), Prospekt Peremogy 37, Kyiv–56 02056, Ukraine
Email:
valbuld@comsys.ntu-kpi.kiev.ua
Received by editor(s):
December 13, 2002
Published electronically:
May 11, 2004
Article copyright:
© Copyright 2004
American Mathematical Society
