Abstract
For a self-similar α-stable process with stationary increments {X(t), 0 ≤t ≤1} we study the asymptotic behaviour of the probability that the process stays within the interval [-ε,ε], as ε becomes small. This behaviour turns out to be only partially determined by the index of stability α and parameter of self-similarity H.
Citation
Gennady Samorodnitsky. "Lower tails of self-similar stable processes." Bernoulli 4 (1) 127 - 142, March 1998.
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