An Erd\"os-R\'ev\'esz type law of the iterated logarithm for reflected fractional Brownian motion

TL;DR

This paper establishes a law of the iterated logarithm for a stationary storage process driven by fractional Brownian motion, providing criteria for the occurrence of large deviations and asymptotic behavior of certain boundary crossing times.

Contribution

It introduces a new criterion to determine the probability of large deviations for the process and proves an Erd"os-Rényi type law for boundary crossing times in this context.

Findings

A criterion for zero-one law of large deviations for the process.

Asymptotic behavior of boundary crossing times $\xi_p(t)$.

Erd"os-Rényi type law for the lower bounds of $\xi_p(t)$.

Abstract

Let $B_H=\{B_H(t):t\in\mathbb R\}$ be a fractional Brownian motion with Hurst parameter $H\in(0,1)$. For the stationary storage process $Q_{B_H}(t)=\sup_{-\infty<s\le t}(B_H(t)-B_H(s)-(t-s))$, $t\ge0$, we provide a tractable criterion for assessing whether, for any positive, non-decreasing function $f$, $\mathbb P(Q_{B_H}(t) > f(t)\, \text{ i.o.})$ equals 0 or 1. Using this criterion we find that, for a family of functions $f_p(t)$, such that $z_p(t)=\mathbb P(\sup_{s\in[0,f_p(t)]}Q_{B_H}(s)>f_p(t))/f_p(t)=\mathscr C(t\log^{1-p} t)^{-1}$, for some $\mathscr C>0$, $\mathbb P(Q_{B_H}(t) > f_p(t)\, \text{ i.o.})= 1_{\{p\ge 0\}}$. Consequently, with $\xi_p (t) = \sup\{s:0\le s\le t, Q_{B_H}(s)\ge f_p(s)\}$, for $p\ge 0$, $\lim_{t\to\infty}\xi_p(t)=\infty$ and $\limsup_{t\to\infty}(\xi_p(t)-t)=0$ a.s. Complementary, we prove an Erd\"os--R\'ev\'esz type law of the iterated logarithm lower bound on $\xi_p(t)$, i.e., $\liminf_{t\to\infty}(\xi_p(t)-t)/h_p(t) = -1$ a.s., $p>1$; $\liminf_{t\to\infty}\log(\xi_p(t)/t)/(h_p(t)/t) = -1$ a.s., $p\in(0,1]$, where $h_p(t)=(1/z_p(t))p\log\log t$.