Large deviations for local time fractional Brownian motion and applications (0712.0574v1)

Abstract: Let $W^H={W^H(t), t \in \rr}$ be a fractional Brownian motion of Hurst index $H \in (0, 1)$ with values in $\rr$, and let $L = {L_t, t \ge 0}$ be the local time process at zero of a strictly stable L\'evy process $X={X_t, t \ge 0}$ of index $1<\alpha\leq 2$ independent of $W^H$. The $\a$-stable local time fractional Brownian motion $Z^H={Z^H(t), t \ge 0}$ is defined by $Z^H(t) = W^H(L_t)$. The process $Z^H$ is self-similar with self-similarity index $H(1 - \frac 1 \alpha)$ and is related to the scaling limit of a continuous time random walk with heavy-tailed waiting times between jumps (\cite{coupleCTRW,limitCTRW}). However, $Z^H$ does not have stationary increments and is non-Gaussian. In this paper we establish large deviation results for the process $Z^H$. As applications we derive upper bounds for the uniform modulus of continuity and the laws of the iterated logarithm for $Z^H$.