Averaged deviations of Orlicz processes and majorizing measures

DOI10.15559/16-VMSTA64MaRDI QIDQ343050zbMATH OpenFDO

Authors R. E. Yamnenko

Publication date 21 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.06002

zbMATH Keywords

Ornstein-Uhlenbeck processOrlicz spacemajorizing measuresOrlicz processsupremum distribution

Mathematics Subject Classification ID

Stochastic processes (60G99) General theory of stochastic processes (60G07)

Abstract: This paper is devoted to investigation of supremum of averaged deviations $|X(t)-f(t)-in{t}_{mathbbT}(X(u)-f(u)),mathrmdmu(u)/mu(mathbbT)|$ of a stochastic process from Orlicz space of random variables using the method of majorizing measures. An estimate of distribution of supremum of deviations $|X(t)-f(t)|$ is derived. A special case of the $L_q$ space is considered. As an example, the obtained results are applied to stochastic processes from the $L_2$ space with known covariance functions.

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