Large deviations for subordinated Brownian motion and applications

Janusz Gajda and Marcin Magdziarz

Statistics & Probability Letters, 2014, vol. 88, issue C, 149-156

Abstract: This paper concerns the problem of large deviation for the subordinated process ZH(t)=WH(T(t)). The process WH={WH(t),t∈R} is the fractional Brownian motion with Hurst index H∈(0,1) taking values in R. T={T(t),t≥0} is the inverse α-stable subordinator. In this paper we extend the results obtained in M.M. Meerschaert et al. (2008) to the whole range of parameter α∈(0,1).

Keywords: Brownian motion; Fractional Brownian motion; Inverse subordinator; α-stable process; Large deviations (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.02.003

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