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Register a new userLarge deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes
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In this paper we prove exact forms of large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes. We also show that a fractional Brownian motion and the related Riemann-Liouville process behave like constant multiples of each other with regard to large deviations for their local and intersection local times. As a consequence of our large deviation estimates, we derive laws of iterated logarithm for the corresponding local times. The key points of our methods: (1) logarithmic superadditivity of a normalized sequence of moments of exponentially randomized local time of a fractional Brownian motion; (2) logarithmic subadditivity of a normalized sequence of moments of exponentially randomized intersection local time of Riemann-Liouville processes; (3) comparison of local and intersection local times based on embedding of a part of a fractional Brownian motion into the reproducing kernel Hilbert space of the Riemann-Liouville process.
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Let $B^{alpha_i}$ be an $(N_i,d)$-fractional Brownian motion with Hurst index ${alpha_i}$ ($i=1,2$), and let $B^{alpha_1}$ and $B^{alpha_2}$ be independent. We prove that, if $frac{N_1}{alpha_1}+frac{N_2}{alpha_2}>d$, then the intersection local times of $B^{alpha_1}$ and $B^{alpha_2}$ exist, and have a continuous version. We also establish H{o}lder conditions for the intersection local times and determine the Hausdorff and packing dimensions of the sets of intersection times and intersection points. One of the main motivations of this paper is from the results of Nualart and Ortiz-Latorre ({it J. Theor. Probab.} {bf 20} (2007)), where the existence of the intersection local times of two independent $(1,d)$-fractional Brownian motions with the same Hurst index was studied by using a different method. Our results show that anisotropy brings subtle differences into the analytic properties of the intersection local times as well as rich geometric structures into the sets of intersection times and intersection points.
We prove the existence of the intersection local time for two independent, d -dimensional fractional Brownian motions with the same Hurst parameter H. Assume d greater or equal to 2, then the intersection local time exists if and only if Hd<2.
The Ray--Knight theorems show that the local time processes of various path fragments derived from a one-dimensional Brownian motion $B$ are squared Bessel processes of dimensions $0$, $2$, and $4$. It is also known that for various singular perturbations $X= |B| + mu ell$ of a reflecting Brownian motion $|B|$ by a multiple $mu$ of its local time process $ell$ at $0$, corresponding local time processes of $X$ are squared Bessel with other real dimension parameters, both positive and negative. Here, we embed squared Bessel processes of all real dimensions directly in the local time process of $B$. This is done by decomposing the path of $B$ into its excursions above and below a family of continuous random levels determined by the Harrison--Shepp construction of skew Brownian motion as the strong solution of an SDE driven by $B$. This embedding connects to Brownian local times a framework of point processes of squared Bessel excursions of negative dimension and associated stable processes, recently introduced by Forman, Pal, Rizzolo and Winkel to set up interval partition evolutions that arise in their approach to the Aldous diffusion on a space of continuum trees.
In this paper we study several aspects of the growth of a supercritical Galton-Watson process {Z_n:nge1}, and bring out some criticality phenomena determined by the Schroder constant. We develop the local limit theory of Z_n, that is, the behavior of P(Z_n=v_n) as v_n earrow infty, and use this to study conditional large deviations of {Y_{Z_n}:nge1}, where Y_n satisfies an LDP, particularly of {Z_n^{-1}Z_{n+1}:nge1} conditioned on Z_nge v_n.
The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by an alternating renewal process. Bounds to the first-passage-time density and distribution function are obtained, and a simulation procedure to estimate first-passage-time densities is constructed. Examples of applications to problems in environmental sciences and mathematical finance are also provided.
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