Self-similarity of Brownian motion and a large deviation principle for random fields on a binary tree

DOI10.1007/BF01311346MaRDI QIDQ1326285zbMATH OpenFDO

Authors Nina Gantert

Publication date 15 August 1994

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01311346

zbMATH Keywords

Brownian bridgeBrownian motionlarge deviation of Brownian sheetOrnstein-Uhlenbeck processself-similarity

Mathematics Subject Classification ID

Large deviations (60F10) Brownian motion (60J65)

Review text

Using self-similarity of Brownian motion and its representation as a product measure on a binary tree, we construct a random sequence of probability measures which converges to the distribution of the Brownian bridge. We establish a large deviation principle for random fields on a binary tree. This leads to a class of probability measures with a certain self-similarity property. The same construction can be carried out for \(C[0,1]\)-valued processes and we can describe, for instance, a \(C[0,1]\)- valued Ornstein-Uhlenbeck process as a large deviation of Brownian sheet.

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Cites work

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Cited in

(12)

• Entropy minimization and Schrödinger processes in infinite dimensions
• Doob decomposition, Dirichlet processes, and entropies on Wiener space
• A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class
• Quadratic variation along refining partitions: constructions and examples
• Self-similarity and spectral asymptotics for the continuum random tree
• Constructing functions with prescribed pathwise quadratic variation
• scientific article; zbMATH DE number 52983 (Why is no real title available?)
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• On a class of generalized Takagi functions with linear pathwise quadratic variation
• Optimal couplings on Wiener space and an extension of Talagrand's transport inequality
• The roughness exponent and its model-free estimation
• A probabilistic approach to the \(\varPhi \)-variation of classical fractal functions with critical roughness

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