Small deviations for some multi-parameter Gaussian processes (Q5937304): Difference between revisions

Given \(\alpha=(\alpha_1,\ldots,\alpha_d)\) with \(0<\alpha_j<2\), there exists a centered Gaussian process \((X^\alpha(t))_{t\in[0,1]^d}\) with continuous paths and covariance function \[ \mathbb E X^\alpha(t) X^\alpha(s) = \prod_{j=1}^d\frac{ s_j^{\alpha_j}+ t_j^{\alpha_j} -|s_j-t_j|^{\alpha_j}}{2} . \tag{1} \] As usual, this process is called \(\alpha\)-fractional Brownian sheet. One of the most interesting (widely open) questions is to determine the small ball behaviour of \(X^\alpha\) w.r.t. the uniform norm, i.e. the behaviour of \(-\log \mathbb P(\sup_{t\in[0,1]^d}|X^\alpha(t)|<\varepsilon)\) as \(\varepsilon\to 0\). For example, if \(d=2\) and \(\alpha=(1,1)\), \textit{M. Talagrand} [Ann. Probab. 22, No. 2, 1331-1354 (1994; Zbl 0835.60031)] proved that (1) behaves like \(\varepsilon^{-2}(\log(1/\varepsilon))^3\). The aim of the present paper is to investigate the behaviour of (1) for \(\alpha\)'s possessing a unique minimum \(\gamma\). Then it turns out that the small ball behaviour of \(X^\alpha\) coincides with that of the (one-dimensional) \(\gamma\)-fractional Brownian motion, i.e. (1) behaves in this case like \(\varepsilon^{-2/\gamma}\). The authors show by example how to use such results to compute the Hausdorff dimension of some exceptional sets determined by maximal increments. Reviewer's remark: In the forthcoming paper ``Small ball probabilities of fractional Brownian sheets via fractional integration operators'' by \textit{E. Belinsky} and the reviewer an alternative proof of the main result in the present article is given. Moreover, Talagrand's theorem for \(d=2\) and \(\alpha=(1,1)\) could be extended to \(\alpha=(\gamma,\gamma)\) with \(0<\gamma<2\).