A note on small ball probability of a Gaussian process with stationary increments

DOI10.1007/BF01066719zbMath0776.60050MaRDI QIDQ685739

Qui-Man Shao

Publication date: 3 October 1993

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

zbMATH Keywords

Gaussian processstationary incrementsfractional Wiener process

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Markov processes (60J99)

Related Items (16)

On almost sure limit inferior for \(B\)-valued stochastic processes and applications ⋮ Small ball probabilities for Gaussian processes with stationary increments under Hölder norms ⋮ Small ball probabilities of Gaussian fields ⋮ Small ball probabilities for a Wiener process under weighted sup-norms, with an application to the supremum of Bessel local times ⋮ THE EXIT PROBABILITIES OF BROWNIAN MOTION WITH VARIABLE DIMENSION APPLYING TO THE CONTROL OF POPULATION GROWTH ⋮ Kolmogorov numbers of Riemann-Liouville operators over small sets and applications to Gaussian processes ⋮ Some liminf results on increments of fractional Brownian motion ⋮ Optimization of small deviation for mixed fractional Brownian motion with trend ⋮ Small deviations for the Poisson process ⋮ Increments and sample path properties of Gaussian processes ⋮ Small deviations for the Poisson process ⋮ Small deviations of weighted fractional processes and average non–linear approximation ⋮ Maximal Inequalities for Fractional Brownian Motion: An Overview ⋮ Approximation, metric entropy and small ball estimates for Gaussian measures ⋮ A Gaussian correlation inequality and its applications to the existence of small ball constant. ⋮ An application of the Gaussian correlation inequality to the small deviations for a Kolmogorov diffusion

Cites Work

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• Gaussian processes with stationary increments possessing discontinuous sample paths
• The Integral of a Symmetric Unimodal Function over a Symmetric Convex Set and Some Probability Inequalities
• On Certain Inequalities for Normal Distributions and their Applications to Simultaneous Confidence Bounds
• On the Maximum Partial Sums of Sequences of Independent Random Variables

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