Logarithmic L2-small ball asymptotics for some fractional Gaussian processes

DOI

https://doi.org/10.1137/S0040585X97981317
Final published version

A. I. Nazarov
Ya Yu Nikitin

We find the logarithmic L₂-small ball asymptotics of some Gaussian processes related to the fractional Brownian motion (fBm), fractional Ornstein-Uhlenbeck process (fOU), and their integrated analogues. We consider also the multiparameter generalizations.

Original language	English
Pages (from-to)	645-658
Number of pages	14
Journal	Theory of Probability and its Applications
Volume	49
Issue number	4
DOIs	https://doi.org/10.1137/S0040585X97981317
State	Published - 1 Dec 2004

Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

Research areas

Fractional Brownian motion, Fractional Ornstein-Uhlenbeck process, Lévy's Brownian motion, Small deviations, Spectral asymptotics

ID: 45873299