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math.PR2009
Modeling and simulation with operator scaling
Serge Cohen, Mark M. Meerschaert, Jan Rosinski
Self-similar processes are useful in modeling diverse phenomena that exhibit scaling properties. Operator scaling allows a different scale factor in each coordinate. This paper dev…
math.PR2009
Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes
Xia Chen, Wenbo V. Li, Jan Rosinski +1
In this paper we prove exact forms of large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes. We also show tha…