Survival Exponents for Some Gaussian Processes

G. Molchan

International Journal of Stochastic Analysis, 2012, vol. 2012, 1-20

Abstract:

The problem is a power-law asymptotics of the probability that a self-similar process does not exceed a fixed level during long time. The exponent in such asymptotics is estimated for some Gaussian processes, including the fractional Brownian motion (FBM) in , and the integrated FBM in , .

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:137271

DOI: 10.1155/2012/137271

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