Small ball probabilities and large deviations for grey Brownian motion

Stefan Gerhold

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arXiv · 2301.05055

Small ball probabilities and large deviations for grey Brownian motion

Stefan Gerhold

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Abstract

We show that the uniform norm of generalized grey Brownian motion over the unit interval has an analytic density, excluding the special case of fractional Brownian motion. Our main result is an asymptotic expansion for the small ball probability of generalized grey Brownian motion, which extends to other norms on path space. The decay rate is not exponential but polynomial, of degree two. For the uniform norm and the H\"older norm, we also prove a large deviations estimate.

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Stefan Gerhold. 2023-01-12. Small ball probabilities and large deviations for grey Brownian motion. https://arxiv.org/abs/2301.05055

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