Small ball probabilities for Gaussian Markov processes under the Lp-norm

Wenbo V. Li

Stochastic Processes and their Applications, 2001, vol. 92, issue 1, 87-102

Abstract: Let {X(t); 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1} be a real-valued continuous Gaussian Markov process with mean zero and covariance [sigma](s,t)=EX(s)X(t)[not equal to]0 for 0 0, H>0 and G/H nondecreasing on the interval (0,1). We show that for the Lp-norm on C[0,1], 1[less-than-or-equals, slant]p[less-than-or-equals, slant][infinity]and its various extensions.

Keywords: Small; ball; probabilities; Gaussian; Markov; processes; Brownian; motion (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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