An application of the Gaussian correlation inequality to the small deviations for a Kolmogorov diffusion

DOI10.1214/22-ECP459MaRDI QIDQ2113277zbMATH OpenOpenAlexFDO

Authors Marco Carfagnini

Publication date 11 March 2022

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.07210

zbMATH Keywords

Chung's law of the iterated logarithmsmall ball problemKolmogorov diffusionsmall deviation principle

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Abstract: We consider an iterated Kolmogorov diffusion $X_t$ of step $n$. The small ball problem for $X_t$ is solved by means of the Gaussian correlation inequality. We also prove Chung's laws of iterated logarithm for $X_t$ both at time zero and infinity.

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Cited in

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• Spectral gap bounds on H-type groups

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