Large deviations for local time fractional Brownian motion and applications

DOI10.1016/J.JMAA.2008.05.087zbMATH Open1147.60025arXiv0712.0574OpenAlexW2111010650MaRDI QIDQ936601FDOQ936601

Y. Xiao, Mark M. Meerschaert, Erkan Nane

Publication date: 19 August 2008

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

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 $Z^H$.

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

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]large deviationfractional Brownian motionlocal timeself-similaritymodulus of continuitylaw of the iterated logarithmstrictly stable process

Mathematics Subject Classification ID

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

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