Optimization of small deviation for mixed fractional Brownian motion with trend

DOI10.1080/17442508.2018.1478835zbMATH Open1498.60150arXiv1806.04998OpenAlexW2808547438WikidataQ129695059 ScholiaQ129695059MaRDI QIDQ5086459FDOQ5086459

Authors: Anne MacKay, Alexander Melnikov, Yuliya S. Mishura 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: In this paper, we investigate two-sided bounds for the small ball probability of a mixed fractional Brownian motion with a general deterministic trend function, in terms of respective small ball probability of a mixed fractional Brownian motion without trend. To maximize the lower bound, we consider various ways to split the trend function between the components of the mixed fractional Brownian motion for the application of Girsanov theorem, and we show that the optimal split is the solution of a Fredholm integral equation. We find that the upper bound for the probability is also a function of this optimal split. The asymptotic behaviour of the probability as the ball becomes small is analyzed for zero trend function and for the particular choice of the upper limiting function.

Full work available at URL: https://arxiv.org/abs/1806.04998

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zbMATH Keywords

trendfractional calculusGirsanov theoremsmall ball probabilityFredholm equationtwo-sided boundsmaximization of the lower boundmixed Brownian-fractional Brownian processzero trend

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Limit theorems in probability theory (60F99)

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Cited In (3)

• Mixed fractional Brownian motion: a spectral take
• Small deviations for mixed fractional Brownian motion with trend and with Hurst index \(H>1/2\)
• Minimization of the entropy for a mixture of standard and fractional Brownian motions

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