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Large deviations for functionals of some self-similar Gaussian processes
Stochastics ( IF 0.8 ) Pub Date : 2020-01-30 , DOI: 10.1080/17442508.2020.1720018 Xiaoming Song 1
中文翻译:
一些自相似高斯过程的泛函有较大偏差
更新日期:2020-01-30
Stochastics ( IF 0.8 ) Pub Date : 2020-01-30 , DOI: 10.1080/17442508.2020.1720018 Xiaoming Song 1
Affiliation
ABSTRACT
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.
中文翻译:
一些自相似高斯过程的泛函有较大偏差
抽象的
我们证明了大偏差原理 ,其中X是d维自相似高斯过程, 采用Dirac delta函数的形式 , 和 , 或者 和 。特别地,对于d维分数布朗运动,子分数布朗运动和双分数布朗运动的函数获得大偏差。作为应用,讨论了功能的关键指数可集成性。