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À propos de : Small ball probabilities for stable convolutions        

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  • Small ball probabilities for stable convolutions
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  • We investigate the small deviations under various norms for stable processes defined by the convolution of a smooth function $f : \; ]0, +\infty[ \;\to \mathbb{R}$ with a real SαS Lévy process. We show that the small ball exponent is uniquely determined by the norm and by the behaviour of f at zero, which extends the results of Lifshits and Simon, Ann. Inst. H. Poincaré Probab. Statist.41 (2005) 725-752 where this was proved for f being a power function (Riemann-Liouville processes). In the Gaussian case, the same generality as Lifshits and Simon, Ann. Inst. H. Poincaré Probab. Statist.41 (2005) 725-752 is obtained with respect to the norms, thanks to a weak decorrelation inequality due to Li, Elec. Comm. Probab.4 (1999) 111-118. In the more difficult non-Gaussian case, we use a different method relying on comparison of entropy numbers and restrict ourselves to Hölder and Lp-norms.
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  • ps0624
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  • © EDP Sciences, SMAI, 2007
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  • EDP Sciences, SMAI
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