On tail probability of local times of Gaussian processes

We study the tail probability of the local time at the origin of Gaussian processes with stationary increments. The order of infinitesimal is obtained.

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Year of publication:	1999
Authors:	Kasahara, Y. ; Kôno, N. ; Ogawa, T.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 82.1999, 1, p. 15-21
Publisher:	Elsevier
Keywords:	Gaussian processes Tail probability Local time Tauberian theorem Occupation times Fractional Brownian motion Moments

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

Persistent link: https://www.econbiz.de/10008874480