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On tail probability of local times of Gaussian processes

Author

Listed:
  • Kasahara, Y.
  • Kôno, N.
  • Ogawa, T.

Abstract

We study the tail probability of the local time at the origin of Gaussian processes with stationary increments. The order of infinitesimal is obtained.

Suggested Citation

  • Kasahara, Y. & Kôno, N. & Ogawa, T., 1999. "On tail probability of local times of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 82(1), pages 15-21, July.
    • Handle: RePEc:eee:spapps:v:82:y:1999:i:1:p:15-21
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    References listed on IDEAS

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    1. Csörgo, Miklós & Lin, Zheng-Yan & Shao, Qi-Man, 1995. "On moduli of continuity for local times of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 1-21, July.
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    Cited by:

    1. D. Baraka & T. S. Mountford, 2011. "The Exact Hausdorff Measure of the Zero Set of Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 24(1), pages 271-293, March.
    2. Boufoussi, Brahim & Guerbaz, Raby, 2009. "Smoothness of Gaussian local times beyond the local nondeterminism," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 1001-1014, March.

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