On a functional limit result for increments of a fractional Brownian motion

DOI10.1023/A:1013829802476MaRDI QIDQ700379zbMATH OpenOpenAlexFDO

Authors D. Kharzeev, Wensheng Wang

Publication date 20 October 2002

Published in Acta Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1013829802476

zbMATH Keywords

fractional Brownian motionincrementlaw of the iterated logarithmmodulus of continuity

Mathematics Subject Classification ID

Strong limit theorems (60F15) Gaussian processes (60G15) Sample path properties (60G17) Brownian motion (60J65)

Review text

Let \(X(t)\), \(t\geq 0\), be a standard \(\alpha\)-fractional Brownian motion with \(X(0)=0\), \(0<\alpha<1\), and let \(K\) be the unit ball of RKHS of the measure induced by \(X\) on \(C_0[0,1]\). For \(0<h<1\) and \(0\leq t\leq 1-h\) consider the process \[ M_{t,h}(x)=(X(t+hx)-X(t))/\sqrt{2h^{2\alpha}\log h^{-1}},\quad 0\leq x\leq 1, \] of small increments of \(X(t)\). It is proved that a.s. as \(h\to 0\): \[ \sup_{0\leq t\leq 1-h}\inf_{f\in K}\|M_{t,h}-f\|_\infty \to 0 \] and for any \(f\in K\), \[ \sup_{0\leq t\leq 1-h}\sup_{0\leq x\leq 1}(M_{t,h}(x)-f(x))\to 0 \] as well as \[ \sup_{0\leq t\leq 1-h}\sup_{0\leq x\leq 1}(f(x)-M_{t,h}(x))\to 0. \] As a special case Lévy's modulus of continuity for \(X\) is obtained. For \(\alpha=\frac 12\) these results were obtained by \textit{B. Chen} [Ph.D. Thesis, Univ. Carleton of Canada (1998)]. The main tool is some large deviation result for Gaussian processes which is related to that given by \textit{V. Goodman} and \textit{J. Kuelbs} [Probab. Theory Relat. Fields 88, No. 1, 47-75 (1991; Zbl 0695.60040)].

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• Functional limit theorems for the increments of \(d\)-dimensional Gaussian processes in a Hölder type norm
• On the large increments of fractional Brownian motion
• Some \(\liminf\) results on increments of the primitives of Brownian motion
• Bahadur-Kiefer representations for time dependent quantile processes
• The fractal nature of the functional law of logarithm of fractional Brownian motions
• Functional limit theorems for the increments of Gaussian samples
• Couplings and strong approximations to time-dependent empirical processes based on i.i.d. fractional Brownian motions
• Functional limit theorems for the infinite series of OU processes in Hölder norm
• SOME LIMIT THEOREMS ON THE INCREMENTS OF A MULTI-PARAMETER FRACTIONAL BROWNIAN MOTION
• Quasi-sure functional limit theorem for increments of a fractional Brownian sheet in Hölder norm
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• Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
• Functional limit theorems for d-dimensional FBM in Hölder norm
• Quasi sure large deviation for increments of fractional Brownian motion in Hölder norm

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