Lower tails of self-similar stable processes

Samorodnitsky, Gennady

Bernoulli, Tome 4 (1998) no. 1, p. 127-142 / Harvested from Project Euclid

Résumé

For a self-similar α-stable process with stationary increments {X(t), 0 ≤t ≤1} we study the asymptotic behaviour of the probability that the process stays within the interval [-ε,ε], as ε becomes small. This behaviour turns out to be only partially determined by the index of stability α and parameter of self-similarity H.

Publié le : 1998-03-14
Classification: self-similar processes, small tails, stable processes, stationary increments

@article{1175865493,
     author = {Samorodnitsky, Gennady},
     title = {Lower tails of self-similar stable processes},
     journal = {Bernoulli},
     volume = {4},
     number = {1},
     year = {1998},
     pages = { 127-142},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1175865493}
}

Samorodnitsky, Gennady. Lower tails of self-similar stable processes. Bernoulli, Tome 4 (1998) no. 1, pp.  127-142. http://gdmltest.u-ga.fr/item/1175865493/