A note on small ball probability of a Gaussian process with stationary increments期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

A note on small ball probability of a Gaussian process with stationary increments

Authors:	Qi-Man Shao

Affiliation:	(1) Department of Mathematics, National University of Singapore, 0511, Singapore;(2) Department of Mathematics, Hangzhou University, Hangzhou, Zhejiang, P.R. China

Abstract:	Let {X(t), 0t1} be a Gaussian process with mean zero and stationary increments. Let ²(h) =EX²(h) be nondecreasing and concave on (0,1). A sharp bound on the small ball probability ofX(·) is given in this paper.Research supported by Charles Phelps Taft Post-doctoral Fellowship of the University of Cincinnati and by the Fok Yingtung Education Foundation of China.

Keywords:	Small ball probability Gaussian process fractional Wiener process
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