Small deviations for fractional stable processes

Details Small deviations for fractional stable processes Small deviations for fractional stable processes

2003-05-06

arxiv.org/abs/math/0305092v1

Ann. Inst. H.Poincar\'e, 2005, 41, 725--752

Mathematics

Probability

30 pages

Scientific paper

Let R be a symmetric a-stable Riemann-Liouville process with Hurst parameter H > 0. Consider ||.|| a translation invariant, b-self-similar, and p-pseudo-additive functional semi-norm. We show that if H > (b + 1/p) and c = (H - b - 1/p), then x log P [ log ||R|| < c log x ] -> - k < 0, when x -> 0, with k finite in the Gaussian case a = 2. If a < 2, we prove that k is finite when R is continuous and H > (b + 1/p + 1/a). We also show that under the above assumptions, x log P [ log ||X|| < c log x ] -> - k < 0 when x -> 0, where k is finite and X is the linear a-stable fractional motion with Hurst parameter 0 < H < 1 (if a = 2, then X is the classical fractional Brownian motion). These general results recover many cases previously studied in the literature, and also prove the existence of new small deviation constants, both in Gaussian and Non-Gaussian frameworks.

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