Survival exponents for some Gaussian processes

DOI10.1155/2012/137271zbMath1260.60073arXiv1203.2446OpenAlexW2167103843WikidataQ58689539 ScholiaQ58689539MaRDI QIDQ1929670

G. M. Molchan

Publication date: 9 January 2013

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.2446

zbMATH Keywords

fractional Brownian motionpower-law asymptoticsintegrated fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

Related Items (9)

Asymptotics of the Persistence Exponent of Integrated Fractional Brownian Motion and Fractionally Integrated Brownian Motion ⋮ The inviscid Burgers equation with fractional Brownian initial data: the dimension of regular Lagrangian points ⋮ Persistence of Gaussian processes: non-summable correlations ⋮ Persistence Probabilities and a Decorrelation Inequality for the Rosenblatt Process and Hermite Processes ⋮ No zero-crossings for random polynomials and the heat equation ⋮ Persistence Probabilities and Exponents ⋮ Approximating Shepp's constants for the Slepian process ⋮ Survival exponents for fractional Brownian motion with multivariate time ⋮ Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes

Cites Work

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• Lower tail probabilities for Gaussian processes.
• Universality of the asymptotics of the one-sided exit problem for integrated processes
• Exit times for integrated random walks
• Positivity of integrated random walks
• Random polynomials having few or no real zeros
• First Passage Time for a Particular Gaussian Process
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