Small values of Gaussian processes and functional laws of the iterated logarithm

DOI10.1007/BF01375823zbMATH Open0821.60043MaRDI QIDQ1346969FDOQ1346969

Authors: Ditlev Monrad, Holger Rootzén 

Publication date: 18 September 1995

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

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• An Erdős-Révész type law of the iterated logarithm for stationary Gaussian processes
• ANALYSIS AND COMPUTATIONS OF LEAST-SQUARES METHOD FOR OPTIMAL CONTROL PROBLEMS FOR THE STOKES EQUATIONS
• Chung's functional law of the iterated logarithm for increments of a fractional Brownian motion
• Increments and sample path properties of Gaussian processes
• Chung's law of the iterated logarithm for subfractional Brownian motion

zbMATH Keywords

rate of convergencefractional Brownian motionlaw of the iterated logarithmGaussian process with stationary increments

Mathematics Subject Classification ID

Gaussian processes (60G15) Strong limit theorems (60F15) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Cites Work

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• On Multivariate Normal Probabilities of Rectangles: Their Dependence on Correlations
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• A relation between Chung's and Strassen's laws of the iterated logarithm
• Lim inf results for Gaussian samples and Chung's functional LIL
• A lim inf result in Strassen's law of the iterated logarithm
• Rates of clustering for some Gaussian self-similar processes
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• Gaussian processes with biconvex covariances

Cited In (73)

• Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion
• Small deviations of weighted fractional processes and average non–linear approximation
• The moduli of continuity for operator fractional Brownian motion
• Decompositions of stochastic convolution driven by a white-fractional Gaussian noise
• Divergence of an integral of a process with small ball estimate
• Functional limit theorems for the infinite series of OU processes in Hölder norm
• The Csörgő-Révész moduli of non-differentiability of fractional Brownian motion
• Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means
• Strong local nondeterminism and exact modulus of continuity for isotropic Gaussian random fields on compact two-point homogeneous spaces
• Cameron–Martin type theorem for a class of non-Gaussian measures
• On large increments of a two-parameter fractional Wiener process
• Exact uniform modulus of continuity and Chung's LIL for the generalized fractional Brownian motion
• Lower functions and Chung's LILs of the generalized fractional Brownian motion
• Fernique-type inequalities and moduli of continuity for anisotropic Gaussian random fields
• The Lower Classes of the Sub-Fractional Brownian Motion
• Small ball probabilities of Gaussian fields
• Moduli of continuity of the local time of a class of sub-fractional Brownian motions
• Some liminf results on increments of fractional Brownian motion
• Chung-type law of the iterated logarithm and exact moduli of continuity for a class of anisotropic Gaussian random fields
• An application of the Gaussian correlation inequality to the small deviations for a Kolmogorov diffusion
• Maximal Inequalities for Fractional Brownian Motion: An Overview
• Approximation, metric entropy and small ball estimates for Gaussian measures
• The moduli of non-differentiability for Gaussian random fields with stationary increments
• Some small ball probabilities for Gaussian processes under nonuniform norms
• Spectral conditions for strong local nondeterminism and exact Hausdorff measure of ranges of Gaussian random fields
• A decomposition of the bifractional Brownian motion and some applications
• Smoothness of the density for solutions to Gaussian rough differential equations
• A fractional Brownian field indexed by \(L^2\) and a varying Hurst parameter
• Functional limit theorems for multiparameter fractional Brownian motion
• Chung's law of the iterated logarithm for anisotropic Gaussian random fields
• Small ball probabilities for Gaussian processes with stationary increments under Hölder norms
• On the large increments of fractional Brownian motion
• Chung-type law of the iterated logarithm on \(l^p\)-valued Gaussian processes
• Quasi sure Strassen's law of the iterated logarithm for increments of FBM in Hölder norm
• Chung's functional law of the iterated logarithm for increments of a fractional Brownian motion
• On the fractal nature of increments of the infinite series of OU processes related to the Chung LIL
• Chung's law of the iterated logarithm for subfractional Brownian motion
• Hölder conditions for the local times of multiscale fractional Brownian motion
• Sample path properties of the local time of multifractional Brownian motion
• A Gaussian correlation inequality and its applications to the existence of small ball constant.
• Mixed fractional Brownian sheets and their applications
• Kolmogorov numbers of Riemann-Liouville operators over small sets and applications to Gaussian processes
• The fractal nature of the functional law of logarithm of fractional Brownian motions
• Functional limit theorems for C-R increments of \(k\)-dimensional Brownian motion in Hölder norm
• The fractional mixed fractional brownian motion and fractional brownian sheet
• Small deviations for the Poisson process
• Small deviations for the Poisson process
• Some path properties of weighted-fractional Brownian motion
• Functional limit theorems for the increments of \(d\)-dimensional Gaussian processes in a Hölder type norm
• Strassen-type Laws of Iterated Logarithm for a Fractional Brownian Sheet
• On the local time of sub-fractional Brownian motion
• Sample paths of the solution to the fractional-colored stochastic heat equation
• Functional limit theorems for \(C\)-\(R\) increments of \(l^p\)-valued Wiener processes in the Hölder norm
• Functional limit theorems for \(d\)-dimensional FBM in Hölder norm
• Chung's functional law of the iterated logarithm for the Brownian sheet
• Rates of clustering for some Gaussian self-similar processes
• Functional limit theorems for the increments of Gaussian samples
• Title not available (Why is that?)
• Strong approximations for long memory sequences based partial sums, counting and their Vervaat processes
• Properties of local-nondeterminism of Gaussian and stable random fields and their applications
• Sample path properties of bifractional Brownian motion
• Increments and sample path properties of Gaussian processes
• A GENERALIZATION OF FRACTAL INTERPOLATION STOCHASTIC PROCESSES TO HIGHER DIMENSIONS
• Hausdorff-type measures of the sample paths of fractional Brownian motion
• Probabilistic approach to the heat equation with a dynamic Hardy-type potential
• Optimization of small deviation for mixed fractional Brownian motion with trend
• Small ball problem via wavelets for Gaussian processes
• Non-uniqueness for reflected rough differential equations
• ANALYSIS AND COMPUTATIONS OF LEAST-SQUARES METHOD FOR OPTIMAL CONTROL PROBLEMS FOR THE STOKES EQUATIONS
• Sample paths properties of the set-indexed fractional Brownian motion
• Local time and related sample paths of filtered white noises
• Some singular sample path properties of a multiparameter fractional Brownian motion
• Convergence of trajectories in fractal interpolation of stochastic processes

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