Hitting probabilities for general Gaussian processes

MaRDI QIDQ6241761zbMATH OpenFDO

Authors Eulalia Nualart, Frederi Viens

Publication date 8 May 2013

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Fractals (28A80) Sample path properties (60G17)

Abstract: For a scalar Gaussian process $B$ on $mathbb{R}_{+}$ with a prescribed general variance function $gamm{a}^{2}left(right)=mathrmVarleft(Bleft(right)ight)$ and a canonical metric $mathrmE[left(Bleft(tight)-Bleft(sight)ight{)}^2]$ which is commensurate with $gamm{a}^{2}left(t-sight)$, we estimate the probability for a vector of $d$ iid copies of $B$ to hit a bounded set $A$ in $mathbb{R}^d$, with conditions on $gamma$ which place no restrictions of power type or of approximate self-similarity, assuming only that $gamma$ is continuous, increasing, and concave, with $gammaleft(0ight)=0$ and $gamm{a}^{prime}left(0+ight)=+infty$. We identify optimal base (kernel) functions which depend explicitly on $gamma$, to derive upper and lower bounds on the hitting probability in terms of the corresponding generalized Hausdorff measure and non-Newtonian capacity of $A$ respectively. The proofs borrow and extend some recent progress for hitting probabilities estimation, including the notion of two-point local-nondeterminism in Bierm'{e}, Lacaux, and Xiao cite{Bierme:09}.

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