Small deviations of Gaussian random fields in L_q-spaces

DOI10.1214/EJP.V11-379MaRDI QIDQ2461952zbMATH OpenFDO

Authors Werner Linde, Zhan Shi, M. A. Lifshits

Publication date 23 November 2007

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

Full work available at URL https://arxiv.org/abs/math/0605417, https://eudml.org/doc/128199

zbMATH Keywords

fractional Brownian motionsHölder operatorsKolmogorov and entropy numbersmixed entropyself-similar measures

Mathematics Subject Classification ID

Fractals (28A80) Gaussian processes (60G15)

Abstract: We investigate small deviation properties of Gaussian random fields in the space $L_q(R^N,mu)$ where $mu$ is an arbitrary finite compactly supported Borel measure. Of special interest are hereby "thin" measures $mu$, i.e., those which are singular with respect to the $N$--dimensional Lebesgue measure; the so--called self--similar measures providing a class of typical examples. For a large class of random fields (including, among others, fractional Brownian motions), we describe the behavior of small deviation probabilities via numerical characteristics of $mu$, called mixed entropy, characterizing size and regularity of $mu$. For the particularly interesting case of self--similar measures $mu$, the asymptotic behavior of the mixed entropy is evaluated explicitly. As a consequence, we get the asymptotic of the small deviation for $N$--parameter fractional Brownian motions with respect to $L_q(R^N,mu)$--norms. While the upper estimates for the small deviation probabilities are proved by purely probabilistic methods, the lower bounds are established by analytic tools concerning Kolmogorov and entropy numbers of H"older operators.

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