Lower tails of self-similar stable processes

被引：14
|
作者：
Samorodnitsky, G [1 ]
机构：
[1] Cornell Univ, Sch Operat Res & Ind Engn, Ithaca, NY 14853 USA
来源：
BERNOULLI | 1998年 / 4卷 / 01期
基金：
美国国家科学基金会;
关键词：
self-similar processes; small tails; stable processes; stationary increments;
D O I：
10.2307/3318535
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
For a self-similar alpha-stable process with stationary increments {X(t), 0 less than or equal to t less than or equal to 1} we study the asymptotic behaviour of the probability that the process stays within the interval [-epsilon, epsilon], as epsilon becomes small. This behaviour turns out to be only partially determined by the index of stability alpha and parameter of self-similarity H. 1350-7265 (C) 1998 Chapman & Hall.
引用
收藏
页码：127 / 142
页数：16
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