Small ball probabilities for Gaussian random fields and tensor products of compact operators

Karol’, Andrei; Nazarov, Alexander; Nikitin, Yakov

doi:10.1090/S0002-9947-07-04233-X

Small ball probabilities for Gaussian random fields and tensor products of compact operators
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by Andrei Karol’, Alexander Nazarov and Yakov Nikitin PDF

Trans. Amer. Math. Soc. 360 (2008), 1443-1474 Request permission

Abstract:

We find the logarithmic $L_2$-small ball asymptotics for a large class of zero mean Gaussian fields with covariances having the structure of “tensor product”. The main condition imposed on marginal covariances is the regular behavior of their eigenvalues at infinity that is valid for a multitude of Gaussian random functions including the fractional Brownian sheet, Ornstein – Uhlenbeck sheet, etc. So we get the far-reaching generalizations of well-known results by Csáki (1982) and by Li (1992). Another class of Gaussian fields considered is the class of additive fields studied under the supremum-norm by Chen and Li (2003). Our theorems are based on new results on spectral asymptotics for the tensor products of compact self-adjoint operators in Hilbert space which are of independent interest.

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