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The exponential integrability of quasi-additive functionals of Gaussian vectors

Author(s): V. V. Buldygin
Translated by: Oleg Klesov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, vipusk 68 (2003).
Journal: Theor. Probability and Math. Statist. No. 68 (2004), 19-25.
MSC (2000): Primary 60B11, 60G15
Posted: May 11, 2004
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Abstract: We study the exponential integrability of quasi-additive functionals of Gaussian random vectors.

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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

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X. Fernique, Intégrabilité des vecteurs gaussiens, C.R. Acad. Sci. Paris Sér. I. Math. 270 (1970), no. 7, 1698-1699. MR 42:1170

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H. J. Landau and L. A. Shepp, On the supremum of a Gaussian process, Sankhya 32 (1970), no. 4, 369-378. MR 44:3381

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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

DOI: 10.1090/S0094-9000-04-00592-7
PII: S 0094-9000(04)00592-7
Received by editor(s): 13/DEC/2002
Posted: May 11, 2004
Copyright of article: Copyright 2004, American Mathematical Society

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