Path regularity of Gaussian processes via small deviations

MaRDI QIDQ4915058zbMATH OpenFDO

Authors Frank Aurzada

Publication date 16 April 2013

Full work available at URL https://arxiv.org/abs/0905.3358, http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=31.1&nrA=4&ppB=61&ppE=78

zbMATH Keywords

Gaussian processsample path regularitysmall ball probabilitysmall deviation

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Gaussian processes (60G15)

Abstract: We study the a.s. sample path regularity of Gaussian processes. To this end we relate the path regularity directly to the theory of small deviations. In particular, we show that if the process is $n$-times differentiable then the exponential rate of decay of its small deviations is at most $varepsilo{n}^{-1/n}$. We also show a similar result if $n$ is not an integer.

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Cited in

(5)

• Path regularity and regularity in mean of first order processes
• Regularity of Gaussian processes on Dirichlet spaces
• On small deviations of Gaussian processes using majorizing measures
• Transfer principle for nth order fractional Brownian motion with applications to prediction and equivalence in law
• Small deviations for a family of smooth Gaussian processes

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