作者：Chen, Xia; Li, Wenbo V.; Rosinski, Jan; Shao, Qi-Man
作者单位：University of Tennessee System; University of Tennessee Knoxville; University of Delaware; Hong Kong University of Science & Technology
摘要：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...
作者：Mishura, Yuliya; Valkeila, Esko
作者单位：Ministry of Education & Science of Ukraine; Taras Shevchenko National University of Kyiv; Aalto University
摘要：Assume that X is a continuous square integrable process with zero mean, defined on some probability space (Omega, F, P). The classical characterization due to P. Levy says that X is a Brownian motion if and only if X and X-t(2) - t, t >= 0, are martingales with respect to the intrinsic filtration F-X. We extend this result to fractional Brownian motion.
