Small deviations for a family of smooth Gaussian processes

Details Small deviations for a family of smooth Gaussian processes Small deviations for a family of smooth Gaussian processes

2010-09-28

arxiv.org/abs/1009.5580v2

Mathematics

Probability

16p, to appear in: Journal of Theoretical Probability

Scientific paper

We study the small deviation probabilities of a family of very smooth self-similar Gaussian processes. The canonical process from the family has the same scaling property as standard Brownian motion and plays an important role in the study of zeros of random polynomials. Our estimates are based on the entropy method, discovered in Kuelbs and Li (1992) and developed further in Li and Linde (1999), Gao (2004), and Aurzada et al. (2009). While there are several ways to obtain the result w.r.t. the $L_2$ norm, the main contribution of this paper concerns the result w.r.t. the supremum norm. In this connection, we develop a tool that allows to translate upper estimates for the entropy of an operator mapping into $L_2[0,1]$ by those of the operator mapping into $C[0,1]$, if the image of the operator is in fact a H\"older space. The results are further applied to the entropy of function classes, generalizing results of Gao et al. (2010).

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