Large deviations for local time fractional Brownian motion and applications

DOI10.1016/J.JMAA.2008.05.087MaRDI QIDQ936601zbMATH OpenOpenAlexFDO

Authors Mark M. Meerschaert, Erkan Nane, Y. Xiao

Publication date 19 August 2008

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.0574

zbMATH Keywords

large deviationfractional Brownian motionlocal timeself-similaritymodulus of continuitylaw of the iterated logarithmstrictly stable processLévy process

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15)

Abstract: Let $W^H=W^H(t),tinr$ be a fractional Brownian motion of Hurst index $Hin(0,1)$ with values in $r$, and let $L=L_t,tge0$ be the local time process at zero of a strictly stable L'evy process $X=X_t,tge0$ of index $1<alphaleq2$ independent of $W^H$. The $a$-stable local time fractional Brownian motion $Z^H=Z^H(t),tge0$ is defined by $Z^H(t)=W^H(L_t)$. The process $Z^H$ is self-similar with self-similarity index $H(1-frac1alpha)$ and is related to the scaling limit of a continuous time random walk with heavy-tailed waiting times between jumps (cite{coupleCTRW,limitCTRW}). However, $Z^H$ does not have stationary increments and is non-Gaussian. In this paper we establish large deviation results for the process $Z^H$. As applications we derive upper bounds for the uniform modulus of continuity and the laws of the iterated logarithm for $Z^H$.

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