Large deviations for functionals of some self-similar Gaussian processes

DOI10.1080/17442508.2020.1720018MaRDI QIDQ5086630zbMATH OpenOpenAlexFDO

Authors Xiaoming Song

Publication date 6 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.04224

zbMATH Keywords

bi-fractional Brownian motionfractional Brownian motionlarge deviation principleslocal timereproducing kernel Hilbert spaceself-similar Gaussian processsub-fractional Brownian motion

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55)

Abstract: We prove large deviation principles for $in{t}_0^{t}gamma(X_s)ds$, where $X$ is a $d$-dimensional self-similar Gaussian process and $gamma(x)$ takes the form of the Dirac delta function $delta(x)$, $$ with $$, or $$ with $$. In particular, large deviations are obtained for the functionals of $d$-dimensional fractional Brownian motion, sub-fractional Brownian motion and bi-fractional Brownian motion. As an application, the critical exponential integrability of the functionals is discussed.

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Cited in

(10)

• Self-similarity of Brownian motion and a large deviation principle for random fields on a binary tree
• On a covariance structure of some subset of self-similar Gaussian processes
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