Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes (Q2431523)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes |
scientific article |
Statements
Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes (English)
0 references
15 April 2011
0 references
Large deviations of local times and intersection local times have been extensively studied in the context of Markov processes. The present paper contains large deviation results for (intersection) local times of two natural families of Gaussian processes without the Markov property, the fractional Brownian motions and the Riemann-Liouville processes. Let \(\{B(t): t\geq 0\}\) be a standard \(\mathbb R^d\)-valued fractional Brownian motion with Hurst index \(H\in (0,1)\). The local time \(\{L_t^x: t\geq 0, x\in \mathbb R^d\}\) of \(B\) is defined heuristically as \[ L_t^x=\int_{0}^t \delta_x(B(s))\,ds \] and is known to exist if \(Hd<1\). The authors prove that the limit \[ \lim_{a\to\infty} a^{-1/(Hd)}\log\operatorname{P}[L_1^0\geq a] \] exists and provide bounds for this limit. Given \(p\) independent \(\mathbb R^d\)-valued standard fractional Brownian motions, their intersection local time is a random measure \(\alpha\) on \(\mathbb R_+^p\) given heuristically by \[ \alpha(A)=\int_A\prod_{j=1}^{p-1} \delta_0(B_j(s_j)-B_{j+1}(s_{j+1}))\,ds_1\dots ds_{p},\quad A\subset \mathbb R_+^p. \] The authors prove the existence of \(\alpha\) provided that \(Hd<p/(p-1)\). They show that the limit \[ \lim_{a\to\infty} a^{-1/((p-1)Hd)}\log\operatorname{P}[\alpha([0,1]^p)\geq a] \] exists and provide bounds for it. Using the above large deviation results, the authors obtain the laws of the iterated logarithm for \(L_t^0\) and \(\alpha([0,t]^d)\) as \(t\to\infty\). Similar results are obtained if \(B\) is an \(\mathbb R^d\)-valued Riemann-Liouville process.
0 references
local time
0 references
intersection local time
0 references
large deviations
0 references
fractional Brownian motion
0 references
Riemann-Liouville process
0 references
law of iterated logarithm
0 references
0 references
0 references
0 references