SOME LIMIT THEOREMS ON THE INCREMENTS OF A MULTI-PARAMETER FRACTIONAL BROWNIAN MOTION

Abstract

In this paper we establish limit inferior and limit superior results on the increments of a multi-parameter fractional Brownian motion, via estimating upper bounds of large deviation probabilities on the suprema of the fractional Brownian motion.

Supported by NSFC (19571021) and NSFZP (195043)

Partially supported by BSRI grant 99-1405, Ministry of Education, Korea

Keywords:

• Multi-parameter fractional Brownian motion
• Large deviation probability
• Limit superior and limit inferior
• AMS 1991 Subject Classifications 60F15, 60G15

Acknowledgments

Notes

Supported by NSFC (19571021) and NSFZP (195043)

Partially supported by BSRI grant 99-1405, Ministry of Education, Korea