Small deviations for fractional stable processes

DOI10.1016/J.ANIHPB.2004.05.004zbMATH Open1070.60042arXivmath/0305092OpenAlexW3101695533MaRDI QIDQ2485744FDOQ2485744

Authors: Thomas Simon, M. A. Lifshits 

Publication date: 5 August 2005

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: Let R be a symmetric a-stable Riemann-Liouville process with Hurst parameter H > 0. Consider ||.|| a translation invariant, b-self-similar, and p-pseudo-additive functional semi-norm. We show that if H > (b + 1/p) and c = (H - b - 1/p), then x log P [ log ||R|| < c log x ] -> - k < 0, when x -> 0, with k finite in the Gaussian case a = 2. If a < 2, we prove that k is finite when R is continuous and H > (b + 1/p + 1/a). We also show that under the above assumptions, x log P [ log ||X|| < c log x ] -> - k < 0 when x -> 0, where k is finite and X is the linear a-stable fractional motion with Hurst parameter 0 < H < 1 (if a = 2, then X is the classical fractional Brownian motion). These general results recover many cases previously studied in the literature, and also prove the existence of new small deviation constants, both in Gaussian and Non-Gaussian frameworks.

Full work available at URL: https://arxiv.org/abs/math/0305092

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zbMATH Keywords

Gaussian processRiemann-Liouville processWaveletsFractional Brownian motionSmall ball probabilitiesLinear fractional stable motionSmall ball constants

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Stable stochastic processes (60G52)

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