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

DOI10.1214/22-ECP459zbMATH Open1490.60069arXiv2111.07210OpenAlexW4200633035MaRDI QIDQ2113277FDOQ2113277

Authors: Marco Carfagnini 

Publication date: 11 March 2022

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

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.

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

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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)

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Cited In (1)

• Spectral gap bounds on H-type groups

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