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Small ball probabilities for a class of time-changed self-similar processes.
- Source :
-
Statistics & Probability Letters . Mar2016, Vol. 110, p155-161. 7p. - Publication Year :
- 2016
-
Abstract
- This paper establishes small ball probabilities for a class of time-changed processes X ∘ E , where X is a self-similar process and E is an independent continuous process, each with a certain small ball probability. In particular, examples of the outer process X and the time change E include an iterated fractional Brownian motion and the inverse of a general subordinator with infinite Lévy measure, respectively. The small ball probabilities of such time-changed processes show power law decay, and the rate of decay does not depend on the small deviation order of the outer process X , but on the self-similarity index of X . [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 110
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 113868117
- Full Text :
- https://doi.org/10.1016/j.spl.2015.12.024