Large deviations for subordinated Brownian motion and applications

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).

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Year of publication:	2014
Authors:	Gajda, Janusz ; Magdziarz, Marcin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 88.2014, C, p. 149-156
Publisher:	Elsevier
Subject:	Brownian motion \| Fractional Brownian motion \| Inverse subordinator \| α-stable process \| Large deviations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011039993