On the minimal integral energy of majorants of the Wiener process

Abstract

We consider the asymptotic behavior (over long time intervals) of the minimal integral energy \[ |h|_T^\psi = \int_0^T \psi(h^\prime(t)) \, \mathrm{d}t \] of majorants of the Wiener process $ W(\cdot) $ satisfying the constraints $ h(0) = r $, $ h(t) \geq W(t) $ for $ 0 \leq t \leq T $. The results significantly generalize previous asymptotic estimates obtained for the case of kinetic energy $ \psi(u) = u^2 $, revealing that this case, where the minimal energy grows logarithmically, is a critical one, lying between two different asymptotic regimes.