Logo image
Back
Large deviations for functionals of some self-similar Gaussian processes
Journal article   Open access   Peer reviewed

Large deviations for functionals of some self-similar Gaussian processes

Xiaoming Song
Stochastics (Abingdon, Eng. : 2005), v 93(3), pp 311-336
03 Apr 2021
DOI: https://doi.org/10.1080/17442508.2020.1720018
url
http://arxiv.org/abs/1802.04224View
Submitted Open Open Access (License Unspecified)

Abstract

bi-fractional Brownian motion fractional Brownian motion large deviation principles local time Primary 60G15 reproducing kernel Hilbert space Self-similar Gaussian process sub-fractional Brownian motion
We prove large deviation principles for , where X is a d-dimensional self-similar Gaussian process and takes the form of the Dirac delta function , with , or with . In particular, large deviations are obtained for the functionals of d-dimensional fractional Brownian motion, sub-fractional Brownian motion and bi-fractional Brownian motion. As an application, the critical exponential integrability of the functionals is discussed.

Metrics

11 Record Views
1 citations in Web of Science

Details

InCites Highlights

Data related to this publication, from InCites Benchmarking & Analytics tool:

Web of Science research areas
Mathematics, Applied
Statistics & Probability
Logo image