An application of the Gaussian correlation inequality to the small deviations for a Kolmogorov diffusion

Published 14 Nov 2021 in math.PR | (2111.07210v2)

Abstract: We consider an iterated Kolmogorov diffusion $X_{t}$ of step $n$. The small ball problem for $X_{t}$ is solved by means of the Gaussian correlation inequality. We also prove Chung's laws of iterated logarithm for $X_{t}$ both at time zero and infinity.

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Marco Carfagnini

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