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Unilateral small deviations of processes related to the fractional Brownian motion
Authors:G. Molchan
Affiliation:International Institute of Earthquake Prediction Theory and Mathematical Geophysics, Moscow, Russian Federation; The Abdus Salam International Centre for Theoretical Physics, Trieste, Russian Federation
Abstract:Let x(s)x(s), s∈RdsRd be a Gaussian self-similar random process of index HH. We consider the problem of log-asymptotics for the probability pTpT that x(s)x(s), x(0)=0x(0)=0 does not exceed a fixed level in a star-shaped expanding domain T⋅ΔTΔ as T→∞T. We solve the problem of the existence of the limit, θ?lim(−logpT)/(logT)Dθ?lim(logpT)/(logT)D, T→∞T, for the fractional Brownian sheet x(s)x(s), s∈[0,T]2s[0,T]2 when D=2D=2, and we estimate θθ for the integrated fractional Brownian motion when D=1D=1.
Keywords:primary   60G15   60G18
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