Small ball probabilities for a class of time-changed self-similar processes

DOI10.1016/j.spl.2015.12.024zbMath1337.60058arXiv1502.07777OpenAlexW1584561616MaRDI QIDQ273717

Kei Kobayashi

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.07777

zbMATH Keywords

fractional Brownian motionanomalous diffusionsmall ball probabilityinverse subordinatoriterated processsmall deviationstime-changed self-similar processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18) Limit theorems in probability theory (60F99)

Related Items (5)

Large-time and small-time behaviors of the spectral heat content for time-changed stable processes ⋮ Spectral heat content for time-changed killed Brownian motions ⋮ Small ball probabilities and large deviations for grey Brownian motion ⋮ Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators ⋮ Stability of stochastic differential equations driven by the time-changed Lévy process with impulsive effects

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