Small ball probabilities and large deviations for grey Brownian motion

DOI10.1214/23-ECP555MaRDI QIDQ6177633zbMATH OpenOpenAlexFDO

Authors Stefan Gerhold

Publication date 17 January 2024

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

Full work available at URL https://arxiv.org/abs/2301.05055

zbMATH Keywords

large deviationsfractional Brownian motionsmall deviationssmall ball probabilitiesgrey Brownian motionWright M-function

Mathematics Subject Classification ID

Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22)

Abstract: We show that the uniform norm of generalized grey Brownian motion over the unit interval has an analytic density, excluding the special case of fractional Brownian motion. Our main result is an asymptotic expansion for the small ball probability of generalized grey Brownian motion, which extends to other norms on path space. The decay rate is not exponential but polynomial, of degree two. For the uniform norm and the H"older norm, we also prove a large deviations estimate.

Recommendations

• Small ball estimates for Brownian motion and the Brownian sheet
• Small ball estimates for Gaussian processes under Sobolev type norms
• Exact small ball constants for some Gaussian processes under the \(L^2\)-norm
• Some small ball probabilities for Gaussian processes under nonuniform norms
• Small deviations for Gaussian Markov processes under the sup-norm

Cites work

• scientific article; zbMATH DE number 3134390 (Why is no real title available?)
• scientific article; zbMATH DE number 194664 (Why is no real title available?)
• A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
• Characterizations and simulations of a class of stochastic processes to model anomalous diffusion
• Gaussian processes: Inequalities, small ball probabilities and applications
• Large deviations and the Strassen theorem in Hölder norm
• Large deviations for Gaussian processes in Hölder norm
• Laws of the iterated logarithm for a class of iterated processes
• Lectures on Gaussian Processes
• Maximal Inequalities for Fractional Brownian Motion: An Overview
• Mittag-Leffler functions, related topics and applications
• On some maximal inequalities for fractional Brownian motions
• Selected aspects of fractional Brownian motion.
• Small ball constants and tight eigenvalue asymptotics for fractional Brownian motions
• Small ball probabilities for a class of time-changed self-similar processes
• Small ball probabilities for stable convolutions
• Small deviations of stable processes and entropy of the associated random operators
• Smoothness of the law of the supremum of the fractional Brownian motion
• The M-Wright function in time-fractional diffusion processes: a tutorial survey

This page was built for publication: Small ball probabilities and large deviations for grey Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6177633)