Lower tails of self-similar stable processes (Q1385010): Difference between revisions

This paper is concerned with the validity or otherwise of inequalities such as for instance \[ C^{-1}\varepsilon^{-d} \leq-\log P\Bigl( \sup_{0\leq t\leq 1}\bigl|X(t)\bigr |\leq \varepsilon \Bigr)\leq C \varepsilon^{-d}\quad (0<\varepsilon <1) \] for separable versions of self-similar stable stochastic processes \(\{X(t), t\geq 0\}\) with stationary increments. One question answered is this: if there is an exponent \(d>0\) such that the above inequalities hold for some constant \(C>0\), is this \(d\) determined by the index of stability \(\alpha\) and the parameter of self-similarity \(H\) of the process? It turns out that in general such an exponent may depend on the class of processes involved and not just on \(\alpha\) and \(H\).