Small deviations of weighted fractional processes and average non–linear approximation

Riesz operators; eigenvalue distributions; approximation numbers, (s)-numbers, Kolmogorov numbers, entropy numbers, etc. of operators (47B06) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10) Integral operators (47G10) Gaussian processes (60G15)

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Let \(B^H=\left(B^H(t)\right)_{t\geq0}\) be a fractional Brownian motion with Hurst index \(H\in (0,1)\) (i.e. \(B^H\) is a centered Gaussian process with a.s. continuous paths and covariance \({\mathbf E} \,B^H(t)B^H(t^\prime)={1\over2}\{| t| ^{2H}+| t^\prime| ^{2H}-| t-t^\prime| ^{2H}\},\;t,t^\prime\geq0\)). Given a measurable weight function \(\rho:(0,\infty)\rightarrow [0,\infty)\) such that we have \({\mathbf P}\left(\| \rho B^H\| _{L_q(0,\infty)}\right)=1\) for some \(q\in [1,\infty]\). The purpose of the paper is to investigate the behaviour of \(\log{\mathbf P}\left(\| \rho B^H\| _{L_q(0,\infty)}<\varepsilon\right)\) as \(\varepsilon\to0\). For the case \(\rho={\mathbf1}_{[0,1]}\) this question was investigated earlier in the papers by \textit{Q.-M. Shao} [J. Theor. Probab. 6, No. 3, 595--602 (1993; Zbl 0776.60050)], \textit{D. Monrad} and \textit{H. Rootzén} [Probab. Theory Relat. Fields 101, No. 2, 173--192 (1995; Zbl 0821.60043)], \textit{W. V. Li} and \textit{W. Linde} [C. R. Acad. Sci., Paris, Sér. I, Math. 326, No. 11, 1329--1334 (1998; Zbl 0922.60039)], \textit{M. A. Lifshitz} and \textit{T. Simon} [Preprint of the University of Evry (2003)], and the following result is obtained: for \(1\leq q\leq\infty\) the limit \(\lim_{\varepsilon\to0}\log{\mathbf P}\left(\| \rho B^H\| _{L_q(0,\infty)}<\varepsilon\right)=-c(H,q)\) exists with finite \(c(H,q)>0\). If \(H=1/2\), then \(B^H\) is a standard Wiener process \(W\). This case was investigated by \textit{M. A. Lifshits} and \textit{W. Linde} [Mem. Am. Math. Soc. 745 (2002; Zbl 0999.47034)]. To formulate the main result we need the following notion: for \(q\in[1,\infty]\) and \(0<H<1\) define the number \(r>0\) by \(1/r=H+1/q\). Using this \(r>0\), we construct a new norm for functions \(\rho\) on \((0,\infty)\) by \(| \rho| _r=\left(\sum_{k=-\infty}^\infty 2^{krH}\| \rho\| ^r_{L_q[2^k,2^{k+1}]}\right)^{1/r}\). Clearly \(\| \rho\| _{L_r(0,\infty)}\leq| \rho| _r\). The main result of the paper is Theorem 4.6. Let \(\rho\) be a weight function on \((0,\infty)\) such that for some \(q\in[0,\infty)\) we have \(| \rho| _r<\infty\). Then \[ \lim_{\varepsilon\to0}\varepsilon^{1/H}\log{\mathbf P}\left(\| \rho B^H\| _{L_q(0,\infty)}<\varepsilon\right)=-c(H,q)\cdot\| \rho\| ^{1/H}_{L_r(0,\infty)} \] with finite \(c(H,q)>0\).

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