Some small ball probabilities for Gaussian processes under nonuniform norms

DOI10.1007/BF02214078zbMATH Open0855.60039MaRDI QIDQ1923932FDOQ1923932

Authors: Wolfgang Stolz 

Publication date: 27 January 1997

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

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zbMATH Keywords

fractional Brownian motionBesov normssmall ball estimates[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDlder-type+norms&go=Go H��lder-type norms]

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

Cites Work

• Rectangular Confidence Regions for the Means of Multivariate Normal Distributions
• Quelques espaces fonctionnels associés à des processus gaussiens
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• Mouvement brownien et espaces de besov
• New Gaussian estimates for enlarged balls
• Small values of Gaussian processes and functional laws of the iterated logarithm
• Small ball probabilities of Gaussian fields
• The small ball problem for the Brownian sheet
• Small ball probabilities for Gaussian processes with stationary increments under Hölder norms
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Cited In (24)

• Small ball probabilities, metric entropy and Gaussian rough paths
• Chung’s law for integrated Brownian motion
• Hypercontractivity and lower deviation estimates in normed spaces
• Small ball probabilities for smooth Gaussian fields and tensor products of compact operators
• Gaussian processes: Inequalities, small ball probabilities and applications
• LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
• Exact \(L^2\) small balls of Gaussian processes
• Small ball probabilities and large deviations for grey Brownian motion
• A note on small ball probability of a Gaussian process with stationary increments
• Extending the scope of the small-ball method
• Onsager Machlup Functional for Stochastic Evolution Equations in a Class of Norms
• Lévy area of Wiener processes in Banach spaces
• Properties of local-nondeterminism of Gaussian and stable random fields and their applications
• Sample path properties of bifractional Brownian motion
• Title not available (Why is that?)
• Arbitrage and hedging in a non probabilistic framework
• Metric entropy of integration operators and small ball probabilites for the Brownian sheet
• Small ball estimates for quasi-norms
• Rates of contraction of posterior distributions based on \(p\)-exponential priors
• On small deviations of stationary Gaussian processes and related analytic inequalities
• Small ball probabilities for Gaussian Markov processes under the \(L_p\)-norm.
• Small ball probabilities for a Wiener process under weighted sup-norms, with an application to the supremum of Bessel local times
• Small deviations for Gaussian Markov processes under the sup-norm
• The fractional mixed fractional Brownian motion.

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