Large deviations for subordinated fractional Brownian motion and applications

DOI10.1016/j.jmaa.2017.10.035zbMath1388.60071OpenAlexW2765592600MaRDI QIDQ1682130

Zhen Long Chen, Wei Gang Wang

Publication date: 28 November 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2017.10.035

zbMATH Keywords

tail probabilityfractional Brownian motionlarge deviationinverse of \(\alpha\)-stable subordinator

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10)

Related Items (4)

Some large deviations principles for time-changed Gaussian processes ⋮ Statistical test for fractional Brownian motion based on detrending moving average algorithm ⋮ Large deviations of time-averaged statistics for Gaussian processes ⋮ Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates

Cites Work

• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• Long-range trap models on \(\mathbb Z\) and quasistable processes
• Large deviations for local time fractional Brownian motion and applications
• Correlated continuous time random walks
• Inequalities for increments of stochastic processes and moduli of continuity
• Limit theorems for coupled continuous time random walks.
• Large deviations for subordinated Brownian motion and applications
• Strassen theorems for a class of iterated processes
• Limit theorems for continuous-time random walks with infinite mean waiting times
• A lower lipschitz condition for the stable subordinator
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