Spectral analysis for some multifractional Gaussian processes

DOI10.1134/S1061920821040075zbMATH Open1483.60061OpenAlexW3089263153MaRDI QIDQ825091FDOQ825091

Authors A. I. Karol, A. I. Nazarov

Publication date 17 December 2021

Published in Russian Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.12272

zbMATH Keywords

Hurst parametermultifractional Gaussian processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Asymptotic distributions of eigenvalues in context of PDEs (35P20)

Abstract: We study the small ball asymptotics problem in $L_2$ for two generalizations of the fractional Brownian motion with variable Hurst parameter. To this end, we perform careful analysis of the singular values asymptotics for associated integral operators.

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Cited in

(5)

• scientific article; zbMATH DE number 1031446 (Why is no real title available?)
• \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
• Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
• Mixed fractional Brownian motion: a spectral take
• Small ball constants and tight eigenvalue asymptotics for fractional Brownian motions

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