Large deviations for local time fractional Brownian motion and applications

Details Large deviations for local time fractional Brownian motion and applications Large deviations for local time fractional Brownian motion and applications

2007-12-04

arxiv.org/abs/0712.0574v1

Journal of Mathematical Analysis and Applications, Volume 346, Issue 2, 15 October 2008, Pages 432-445

Mathematics

Probability

20 pages

Scientific paper

10.1016/j.jmaa.2008.05.087

Let $W^H=\{W^H(t), t \in \rr\}$ be a fractional Brownian motion of Hurst index $H \in (0, 1)$ with values in $\rr$, and let $L = \{L_t, t \ge 0\}$ be the local time process at zero of a strictly stable L\'evy process $X=\{X_t, t \ge 0\}$ of index $1<\alpha\leq 2$ independent of $W^H$. The $\a$-stable local time fractional Brownian motion $Z^H=\{Z^H(t), t \ge 0\}$ is defined by $Z^H(t) = W^H(L_t)$. The process $Z^H$ is self-similar with self-similarity index $H(1 - \frac 1 \alpha)$ 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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