An application of the Gaussian correlation inequality to the small deviations for a Kolmogorov diffusion
Probability
2021-12-13 v2
Abstract
We consider an iterated Kolmogorov diffusion of step . The small ball problem for is solved by means of the Gaussian correlation inequality. We also prove Chung's laws of iterated logarithm for both at time zero and infinity.
Keywords
Cite
@article{arxiv.2111.07210,
title = {An application of the Gaussian correlation inequality to the small deviations for a Kolmogorov diffusion},
author = {Marco Carfagnini},
journal= {arXiv preprint arXiv:2111.07210},
year = {2021}
}