Summary
Let (X(t), t≧0) be a centred Gaussian process with stationary increments andEX 2 (t)=C 0 t 2α for someC 0>0, 0<α<1, and let 0<a t ≦t be a nondecreasing function oft witha t /t nonincreasing. The asymptotic behaviour of several increment processes constructed fromX anda t is studied in terms of their upper classes.
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Research partially financed by CONICIT, Proyecto S1-1372. This work was completed while the author was visiting the Université de Paris-Sud, Orsay, France
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Ortega, J. Upper classes for the increments of fractional Wiener processes. Probab. Th. Rel. Fields 80, 365–379 (1989). https://doi.org/10.1007/BF01794429
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DOI: https://doi.org/10.1007/BF01794429