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https://doi.org/10.1007/BF01066719
| Title: | A note on small ball probability of a Gaussian process with stationary increments | Authors: | Shao, Q.-M. | Keywords: | fractional Wiener process Gaussian process Small ball probability |
Issue Date: | Jul-1993 | Citation: | Shao, Q.-M. (1993-07). A note on small ball probability of a Gaussian process with stationary increments. Journal of Theoretical Probability 6 (3) : 595-602. ScholarBank@NUS Repository. https://doi.org/10.1007/BF01066719 | Abstract: | Let {X(t), 0≤t≤1} be a Gaussian process with mean zero and stationary increments. Let σ2(h) =EX2(h) be nondecreasing and concave on (0,1). A sharp bound on the small ball probability of X(·) is given in this paper. © 1993 Plenum Publishing Corporation. | Source Title: | Journal of Theoretical Probability | URI: | http://scholarbank.nus.edu.sg/handle/10635/102711 | ISSN: | 08949840 | DOI: | 10.1007/BF01066719 |
| Appears in Collections: | Staff Publications |
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