Electronic Communications in Probability

Non-degeneracy of some Sobolev Pseudo-norms of fractional Brownian motion

Yaozhong Hu, Fei Lu, and David Nualart

Full-text: Open access

Abstract

Applying an upper bound estimate for $L^{2}$ small ball probability for fractional Brownian motion (fBm), we prove the non degeneracy of some Sobolev pseudo-norms of fBm.

Article information

Source
Electron. Commun. Probab., Volume 18 (2013), paper no. 84, 8 pp.

Dates
Accepted: 3 November 2013
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465315623

Digital Object Identifier
doi:10.1214/ECP.v18-2986

Mathematical Reviews number (MathSciNet)
MR3141793

Zentralblatt MATH identifier
1329.60105

Subjects
Primary: 60H07: Stochastic calculus of variations and the Malliavin calculus
Secondary: 60G22: Fractional processes, including fractional Brownian motion

Keywords
non-degeneracy Malliavin calculus fractional Brownian motion small deviation (small ball probability)

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Hu, Yaozhong; Lu, Fei; Nualart, David. Non-degeneracy of some Sobolev Pseudo-norms of fractional Brownian motion. Electron. Commun. Probab. 18 (2013), paper no. 84, 8 pp. doi:10.1214/ECP.v18-2986. https://projecteuclid.org/euclid.ecp/1465315623


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References

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