Small deviations for admixture additive & multiplicative processes

Define the admixture additive processes [Formula: see text] and the admixture multiplicative processes [Formula: see text] where [Formula: see text] are finite constants, [Formula: see text] is the standard Brownian motion, [Formula: see text] is the fractional integrated Brownian motion with index...

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Detalles Bibliográficos
Autores principales: Liang, Mingjie, Wu, Bingyao
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2018
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6096921/
https://www.ncbi.nlm.nih.gov/pubmed/30839559
http://dx.doi.org/10.1186/s13660-018-1798-4
Descripción
Sumario:Define the admixture additive processes [Formula: see text] and the admixture multiplicative processes [Formula: see text] where [Formula: see text] are finite constants, [Formula: see text] is the standard Brownian motion, [Formula: see text] is the fractional integrated Brownian motion with index parameter [Formula: see text] , [Formula: see text] is the fractional Brownian motion with Hurst parameter [Formula: see text] , [Formula: see text] is the stable process with index [Formula: see text] , and they are independent of each other. The small deviation for [Formula: see text] and the lower bound of small deviation for [Formula: see text] are obtained. As an application, limit inf type LIL is given for [Formula: see text] .

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