Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 36 / 3

Put $\kappa =2(1-H)>0$. For the Gaussian process $Z$, self-similarity of a stochastic process gives the identity in distributionApply the given small-noise large deviation principle with $L=N^{\kappa }$. The answer isNo Legendre-Fenchel transform needs to be recomputed: the scaled paths have exactly the small-noise law at this scale.

If the stated small-noise large deviation principle is indexed only by integer $L$, use $L_N=\lfloor N^{\kappa }\rfloor$. This gives speed $N^{\kappa }$ as well, since $L_N/N^{\kappa }\to 1$. The multiplying factor $\sqrt{L_N/N^{\kappa }}\to 1$ does not change the large deviation principle. To justify this last step, the error in the path norm is $o(1)\Vert Z/\sqrt{L_N}\Vert$. For each fixed $M$, good rate functions have bounded sublevel sets, so ${\inf }_{\Vert f\Vert \ge M}I(f)\to \infty$ as $M\to \infty$. The closed-set upper bound then makes the probability of an error greater than any fixed $\eta >0$ superexponentially small. Thus exponential equivalence applies. This also justifies positive real, rather than only integer, rescalings used in part (c).

Let $\delta =C-\mu >0$, and first suppose $\sigma >0$. For the infinite-horizon contraction, use the usual sublinear path space for fluid queues,We interpret the supplied path-space large deviation principle in this norm, or in a topology with the same workload-continuity property. The paper does not specify its norm explicitly; mere convergence on compact time intervals would not justify an infinite-horizon contraction.

Define the queue workload functionalIt is finite and nonnegative on the sublinear path space for fluid queues. Here is the required continuity argument. Fix $f$ and choose $T\ge 1$ so that $|\sigma f(t)|\le \delta t/4$ for $t\ge T$. If $\Vert g-f{\Vert }_{\mathrm{sl}}<\delta /(4\sigma )$, then for $t\ge T$,The corresponding expression for $f$ is also negative there, whereas at zero both are zero. Each supremum can therefore be restricted to $[0,T]$, givingThus $R$ is a continuous map; this proof also shows why the negative drift is essential.

Substituting $t=Ns$ into the queue workload givesThe contraction principle for large deviations says that a continuous image of a family with good rate function $I$ has the same large-deviation speed and good rate function obtained by minimizing $I$ over each fibre. ConsequentlyIn particular $J(0)=0$: $Z/\sqrt{L}\to 0$ in the path norm almost surely, so the given large deviation principle and lower semicontinuity give $I(0)=0$, and $R(0)=0$. If $\sigma =0$, the queue workload is identically zero and the rate function is zero at zero and infinite elsewhere. No unspecified variance normalization of the fractional Brownian motion is needed for this variational answer.

Let $\kappa =2(1-H)$ and fix $a>0$. Starting with part (b), the contraction principle for large deviations under the map $q\mapsto q/a$ gives an LDP for $r(X)/(aN)$ with speed $N^{\kappa }$ and rate function $q\mapsto J(aq)$.

Alternatively, replace $N$ by $aN$ in parts (a) and (b), using the real-scale justification in part (a). The same family has large-deviation speed $(aN{)}^{\kappa }$ and rate function $J(q)$. When expressed at speed $N^{\kappa }$, that rate function is $a^{\kappa }J(q)$. The two descriptions of the same large deviation principle must agree:For clarity, uniqueness here is a general property of lower semicontinuous rate functions: at a point $x$, the shrinking-neighborhood logarithmic bounds recover $I(x)$, since ${\inf }_{B(x,\eta )}I\to I(x)$ as $\eta \downarrow 0$. Thus two rate functions for the same family and speed cannot differ.

Taking the base argument $q=1$ and replacing $a$ by any positive queue size givesFor $q<0$ the rate function is infinite. In the usual nondegenerate case $J(1)$ is finite, so the formula also holds at $q=0$. This is the self-similar Gaussian workload rate; the exponent comes from the Hurst parameter, while the constant comes from the path rate function and the drift and noise scales.