| Título: | On the one-sided exit problem for fractional Brownian motion |
| Autores: | Aurzada, Frank; Technische Universität Berlin |
| Fecha: | 2011-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
First passage time; fractional Brownian motion; lower tail probability; one-sided barrier problem; one-sided exit problem; small value probability; survival exponent 60G22; (60G15, 60G18). |
| Descripción: | 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. |
| Idioma: | No aplica |
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