Small ball probabilities for a class of time-changed self-similar processes

Kei Kobayashi

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arXiv · 1502.07777

Small ball probabilities for a class of time-changed self-similar processes

Kei Kobayashi

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Abstract

This paper establishes small ball probabilities for a class of time-changed processes $X\circ E$, 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 L\'evy 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 $X$.

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Kei Kobayashi. 2015-02-26. Small ball probabilities for a class of time-changed self-similar processes. https://arxiv.org/abs/1502.07777

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