Small deviations for stable processes via compactness properties of the parameter set

Frank Aurzada

Statistics & Probability Letters, 2008, vol. 78, issue 6, 577-581

Abstract: We establish a general lower bound for the small deviations of [alpha]-stable processes in terms of the metric entropy behaviour w.r.t. the Dudley metric. This generalises work by Talagrand [1993. New Gaussian estimates for enlarged balls. Geom. Funct. Anal. 3, 502-526] for Gaussian processes and yields new bounds for stable self-similar processes.

Keywords: Gaussian; processes; Linear; fractional; stable; motion; Metric; entropy; Self-similar; processes; Small; deviation; Stable; processes (search for similar items in EconPapers)
Date: 2008
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