Small ball probabilities and large deviations for grey Brownian motion

DOI10.1214/23-ECP555arXiv2301.05055OpenAlexW4388678091MaRDI QIDQ6177633FDOQ6177633

Authors: Stefan Gerhold 

Publication date: 17 January 2024

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

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.

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

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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)

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