Small deviations of stable processes and entropy of the associated random operators

Details Small deviations of stable processes and entropy of the associated random operators Small deviations of stable processes and entropy of the associated random operators

2008-04-11

arxiv.org/abs/0804.1883v2

Bernoulli 2009, Vol. 15, No. 4, 1305-1334

Mathematics

Probability

Published in at http://dx.doi.org/10.3150/09-BEJ212 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/09-BEJ212

We investigate the relation between the small deviation problem for a symmetric $\alpha$-stable random vector in a Banach space and the metric entropy properties of the operator generating it. This generalizes former results due to Li and Linde and to Aurzada. It is shown that this problem is related to the study of the entropy numbers of a certain random operator. In some cases, an interesting gap appears between the entropy of the original operator and that of the random operator generated by it. This phenomenon is studied thoroughly for diagonal operators. Basic ingredients here are techniques related to random partitions of the integers. The main result concerning metric entropy and small deviations allows us to determine or provide new estimates for the small deviation rate for several symmetric $\alpha$-stable random processes, including unbounded Riemann--Liouville processes, weighted Riemann--Liouville processes and the ($d$-dimensional) $\alpha$-stable sheet.

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