ON THE ONE-SIDED EXIT PROBLEM FOR FRACTIONAL BROWNIAN MOTION

被引：27

作者：

Aurzada, Frank ^{[1
]}

机构：

[1] Tech Univ Berlin, D-1000 Berlin, Germany

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2011年 / 16卷

关键词：

First passage time; fractional Brownian motion; lower tail probability; one-sided barrier problem; one-sided exit problem; small value probability; survival exponent; INVISCID BURGERS-EQUATION; PROBABILITIES;

D O I：

10.1214/ECP.v16-1640

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the one-sided exit problem for fractional Brownian motion (FBM), which is equivalent to the question of the distribution of the lower tail of the maximum of FBM on the unit interval. We improve the bounds given by Molchan (1999) and shed some light on the relation to the quantity I studied there.

引用

页码：392 / 404

页数：13

共 12 条

[1]

AURZADA F, 2011, ANN I H P B IN PRESS

[2] The inviscid burgers equation with Brownian initial velocity [J].