Spectral Analysis for Some Multifractional Gaussian Processes

We study the small ball asymptotics problem in $L_2$ for two generalizations of the fractional Brownian motion with variable Hurst parameter. To this end, we perform careful analysis of the singular values asymptotics for associated integral operators.

[1]  The Asymptotic Behavior of Singular Numbers of Compact Pseudodifferential Operators with Symbol Nonsmooth in Spatial Variables , 2019, Functional Analysis and Its Applications.

[2]  Serge Cohen,et al.  From Self-Similarity to Local Self-Similarity: the Estimation Problem , 1999 .

[3]  A. I. Nazarov,et al.  Exact L2-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems , 2004 .

[4]  Jacques Istas,et al.  Identifying the multifractional function of a Gaussian process , 1998 .

[5]  A. Nazarov Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes , 2019, Communications in Contemporary Mathematics.

[6]  P. Chigansky,et al.  Exact asymptotics in eigenproblems for fractional Brownian covariance operators , 2016, Stochastic Processes and their Applications.

[7]  R. Peltier,et al.  Multifractional Brownian Motion : Definition and Preliminary Results , 1995 .

[8]  J. Ryvkina Fractional Brownian Motion with Variable Hurst Parameter: Definition and Properties , 2013, 1306.2870.

[9]  Gary M. Lieberman,et al.  Regularized distance and its applications. , 1985 .

[10]  M. Birman,et al.  ESTIMATES OF SINGULAR NUMBERS OF INTEGRAL OPERATORS , 1977 .

[11]  M. Lifshits Lectures on Gaussian Processes , 2012 .

[12]  Логарифмическая асимптотика малых уклонений в $L_2$-норме для некоторых дробных гауссовских процессов@@@Logarithmic $L_2$-small ball asymptotics for some fractional Gaussian processes , 2004 .

[13]  Alexander I. Nazarov,et al.  Small ball probabilities for Gaussian random fields and tensor products of compact operators , 2008 .

[14]  The Singular Values of Compact Pseudodifferential Operators with Spatially Nonsmooth Symbols , 2020 .

[15]  A. Nazarov Exact L2-Small Ball Asymptotics of Gaussian Processes and the Spectrum of Boundary-Value Problems , 2009 .

[16]  M. Solomjak,et al.  Spectral Theory of Self-Adjoint Operators in Hilbert Space , 1987 .

[17]  M. Solomjak,et al.  Quantitative analysis in Sobolev imbedding theorems and applications to spectral theory , 1980 .

[18]  R. Dobrushin,et al.  ESTIMATES OF SINGULAR NUMBERS OF INTEGRAL OPERATORS , 2017 .

[19]  M. Birman,et al.  On the negative discrete spectrum of a preiodic elliptic operator in a waveguide-type domain, perturbed by a decaying potential , 2001 .

[20]  Jared C. Bronski,et al.  Small Ball Constants and Tight Eigenvalue Asymptotics for Fractional Brownian Motions , 2003 .

[21]  A. Nazarov,et al.  On Small Deviation Asymptotics In L2 of Some Mixed Gaussian Processes , 2018 .

[22]  A. Nazarov Log-level comparison principle for small ball probabilities , 2008, 0805.1773.

[23]  Thomas Mikosch,et al.  Regularly varying functions , 2006 .

[24]  M. Solomjak,et al.  ASYMPTOTIC BEHAVIOR OF THE SPECTRUM OF WEAKLY POLAR INTEGRAL OPERATORS , 1970 .

[25]  Jean-François Coeurjolly,et al.  Identification of multifractional Brownian motion , 2005 .

[26]  A. Nazarov,et al.  Logarithmic L2-small ball asymptotics for some fractional Gaussian processes , 2005 .

[27]  H. Triebel Interpolation Theory, Function Spaces, Differential Operators , 1978 .

[28]  K. Ralchenko,et al.  Path properties of multifractal Brownian motion , 2010 .

[29]  Jacques Lévy Véhel,et al.  The covariance structure of multifractional Brownian motion, with application to long range dependence , 2000, 2000 IEEE International Conference on Acoustics, Speech, and Signal Processing. Proceedings (Cat. No.00CH37100).