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

页码：127 / 142

页数：16

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