Volume 11, February 2007Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
|Page(s)||327 - 343|
|Published online||17 August 2007|
- S. Artstein, V. Milman and S.J. Szarek, Duality of metric entropy. Ann. Math. (2) 159 (2004) 1213–1328.
- F. Aurzada., Metric entropy and the small deviation problem for stable processes. To appear in Prob. Math. Stat. (2006).
- P. Berthet and Z. Shi, Small ball estimates for Brownian motion under a weighted sup-norm. Studia Sci. Math. Hungar. 36 (2000) 275–289. [CrossRef] [MathSciNet]
- J. Bertoin, On the first exit time of a completely asymmetric stable process from a finite interval. Bull. London Math. Soc. 28 (1996) 514–520. [CrossRef] [MathSciNet]
- P. Cheridito, H. Kawaguchi and M. Maejima, Fractional Ornstein-Uhlenbeck Processes. Elec. J. Probab. 8 (2003) 1–14.
- D.E. Edmunds and H. Triebel, Function spaces, entropy numbers, differential operators. Cambridge University Press (1996).
- G.H. Hardy and J.E. Littlewood, Some properties of fractional integrals I. Math. Z. 27 (1927) 565–606. [CrossRef]
- D. Heath, R.A. Jarrow and A. Morton, Bond pricing and the term structure of interest rate: A new methodology for contingent claim valuation. Econometrica 60 (1992) 77–105. [CrossRef]
- J. Kuelbs and W.V. Li, Metric Entropy and the Small Ball Problem for Gaussian Measures. J. Func. Anal. 116 (1993) 113–157.
- S. Kwapień, M.B. Marcus and J. Rosiński, Two results on continuity and boundedness of stochastic convolutions. Ann. Inst. Henri Poincaré, Probab. et Stat. 42 (2006) 553–566.
- W.V. Li, A Gaussian correlation inequality and its application to small ball probabilities. Elec. Comm. Probab. 4 (1999) 111–118.
- W.V. Li, Small ball probabilities for Gaussian Markov processes under the Lp-norm. Stochastic Processes Appl. 92 (2001) 87–102. [CrossRef]
- W.V. Li and W. Linde, Existence of small ball constants for fractional Brownian motions. C. R. Acad. Sci. Paris 326 (1998) 1329–1334.
- W.V. Li and W. Linde, Approximation, metric entropy and the small ball problem for Gaussian measures. Ann. Probab. 27 (1999) 1556–1578. [CrossRef] [MathSciNet]
- W.V. Li and W. Linde, Small Deviations of Stable Processes via Metric Entropy. J. Theoret. Probab. 17 (2004) 261–284. [CrossRef] [MathSciNet]
- M.A. Lifshits and T. Simon, Small deviations for fractional stable processes. Ann. Inst. H. Poincaré Probab. Statist. 41 (2005) 725–752. [CrossRef] [MathSciNet]
- M. Maejima and K. Yamamoto, Long-Memory Stable Ornstein-Uhlenbeck Processes. Elec. J. Probab. 8 (2003) 1–18.
- S.G. Samko, A.A. Kilbas and O.I. Marichev, Fractional Integrals and Derivatives. Gordon and Breach (1993).
- G. Samorodnitsky and M.S. Taqqu, Stable Non-Gaussian Random Processes. Chapman & Hall (1994).
- K. Takashima, Sample path properties of ergodic self-similar processes. Osaka J. Math. 26 (1989) 159–189. [MathSciNet]
- M.S. Taqqu and R.L. Wolpert, Fractional Ornstein-Uhlenbeck Lévy Processes and the Telecom Process: Upstairs and Downstairs. Signal Processing 85 (2005) 1523–1545. [CrossRef]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.