Abstract
The asymptotics of the multidimensional Laplace integral for the case in which the phase attains its minimum on an arbitrary smooth manifold is studied. Applications to the study of the asymptotics of the distribution of Gaussian and Weibullian random chaoses are considered.
Similar content being viewed by others
References
V. I. Arnol’d, A. N. Varchenko, and S. M. Gusein-Zade, Singularities of Differentiable Mappings, Vol. 2: Monodromy and Asymptotic Behavior of Integrals (Nauka, Moscow, 1984; Birkhäuser, 1987).
E. Combet, Intégrales exponentielles. Développements asymptotiques. Propriétés Lagrangiennes, in Lecture Notes in Math. (Springer-Verlag, Berlin, 1982), Vol. 9
C. M. Bender and S. A. Orszag, Advanced Mathematical Methods for Scientists and Engineers, Vol. I: Asymptotic Methods and Perturbation Theory (Springer-Verlag, New York, 1999).
M. V. Fedoryuk, Asymptotics: Integrals and Series, in Reference Mathematical Library (Nauka, Moscow, 1987) [in Russian].
O. E. Trofimov and D. G. Frizen, “The coefficients of the asymptotic expansion of integrals by the Laplace method,” Avtometriya 2, 94 (1981).
R. Wong, Asymptotic Approximations of Integrals, in Computer Science and Scientific Computing (Academic Press, Boston, MA, 1989).
N. Bleistein and R. A. Handelsman, Asymptotic Expansions of Integrals (Holt, Rinehart and Winston, New York, 1975).
W. Fulks and J. O. Sather, “Asymptotics. II. Laplace’s method for multiple integrals,” Pacific J. Math. 11, 185–192 (1961).
J. Wojdylo, “Computing the coefficients in Laplace’s method,” SIAM Rev. 48(1), 76–96 (2006).
J. L. López, P. Pagola, and E. Pérez Sinusá, “A simplification of Laplace’s method: applications to the Gamma function and Gauss hypergeometric function,” J. Approx. Theory 161, 280–291 (2009).
M. V. Fedoryuk, Saddle-Point Method (Nauka, Moscow, 1977) [in Russian].
Ph. Barbe, Approximation of Integrals over Asymptotic Sets with Applications to Probability and Statistics, arXiv: math/0312132 (2003).
K. W. Breitung, Asymptotic Approximations for Probability Integrals, in Lecture Notes in Math. (Springer-Verlag, Berlin, 1994), Vol. 1592.
N. Wiener, “The homogeneous chaos,” Amer. J. Math. 60(4), 897–936 (1938).
Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, Ed. by M. Abramowitz and I. Stegun (Dover Publications, New York, 1972; Nauka, Moscow, 1979).
W.-D. Richter, “Generalized spherical and simplicial coordinates,” J. Math. Anal. Appl. 336(2), 1187–1202 (2007).
E. Hashorva, D. Korshunov, and V. I. Piterbarg, “Asymptotic expansion of Gaussian chaos via probabilistic approach,” Extremes (2015).
D. A. Korshunov, V. I. Piterbarg, and E. Hashorva, “On extremal behavior of Gaussian chaos,” Dokl. Ross. Akad. Nauk 452(5), 483–485 (2013) [Dokl. Math. 88 (2), 566–568 (2013)].
S. Foss, D. Korshunov, and S. Zachary, An Introduction to Heavy-Tailed and Subexponential Distributions, in Springer Ser. Oper. Res. Financ. Eng. (Springer, New York, 2011).
Author information
Authors and Affiliations
Corresponding author
Additional information
Original Russian Text © D. A. Korshunov, V. I. Piterbarg, E. Hashorva, 2015, published in Matematicheskie Zametki, 2015, Vol. 97, No. 6, pp. 868–883.
Rights and permissions
About this article
Cite this article
Korshunov, D.A., Piterbarg, V.I. & Hashorva, E. On the asymptotic Laplace method and its application to random chaos. Math Notes 97, 878–891 (2015). https://doi.org/10.1134/S0001434615050235
Received:
Published:
Issue Date:
DOI: https://doi.org/10.1134/S0001434615050235