Tail probabilities of local times of Gaussian processes and diffusions

MaRDI QIDQ2752177zbMATH OpenFDO

Authors Yuji Kasahara, Toshiko Ogawa, Norio Kôno

Publication date 15 September 2002

zbMATH Keywords

diffusionGaussian processlocal timestail asymptoticsTauberian theorems

Mathematics Subject Classification ID

Local time and additive functionals (60J55)

Review text

The authors study upper tail asymptotics for the local time at zero of linear Gaussian processes and diffusions. The main result states that in the Gaussian case (under certain conditions including an assumption of local nondeterminism) \(-\log P\{ \ell(0,1)>x\} \asymp 1/\sigma^{-1}(1/x)\), where \(\ell(0,1)\) is the local time in zero at time 1 and \(\sigma^2(h)=E\{(X(t+h)-X(t))^2\}\). In the case of linear diffusions the tails depend on the index of variation of the Green's function.NEWLINENEWLINEFor the entire collection see [Zbl 0964.00044].

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Cited in

(2)

• On tail probability of local times of Gaussian processes
• Lower tail probabilities for Gaussian processes.

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